Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter

Mehmet Balcilar, Rangan Gupta and Charl Jooste

No 201440, Working Papers from University of Pretoria, Department of Economics

Abstract: We test the inertial properties of South African inflation in a Markov-Switching autoregressive fractionally integrated moving average model. This allows us to test for long memory and study the persistence of inflation in multiple regimes. We show that inflation is more volatile and persistent during high inflation episodes relative to low inflation episodes. We estimate that it takes approximately 70 months for 50 percent of the shocks to dissipate in a high inflation regime compared to 10 months in a low inflation regime.

Keywords: Inflation persistence; MS-ARFIMA; inflation regimes (search for similar items in EconPapers)
JEL-codes: C20 E31 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2014-08
New Economics Papers: this item is included in nep-cba and nep-mac
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter (2016)
Working Paper: Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter (2014)
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