Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data

Luis Gil-Alana and Rangan Gupta

No 201713, Working Papers from University of Pretoria, Department of Economics

Abstract: This study examines the inflation persistence using over one century of data for twenty-seven developed and developing countries based on fractional integration techniques incorporating nonlinearity to account for possible structural breaks and inherent asymmetry in the process of inflation. The main results suggest that the degree of persistence, estimated by the long-memory parameter, is that, while there is evidence of long-memory behaviour in the inflation rates of sixteen countries, none of the twenty-seven countries indicate evidence of unit root non-stationarity. The result implies that monetary authorities in these countries can play a role in controlling inflation, though the extent of intervention required will tend to vary.

Keywords: Inflation; developed and developing countries; long span annual data; long memory; nonlinearity (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2017-03
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201713

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().