Abstract:
We study inflation persistence in South Africa using a quantile regression approach. We
control for structural breaks using a quantile structural break test on a long span of inflation
data. Our study includes persistence estimates for headline and core inflation - thus controlling
for possible biases emanating from extremely volatile periods. South Africa's inflation
persistence is lowest during the inflation targeting period regardless of the inflation measure.
Inflation persistence is also constant over all quantiles during the inflation targeting regime for
core inflation. There is a difference between the estimates from headline and core - headline
persistence increases in relation to higher quantiles. Thus energy and food price shocks might
de-stabilise inflation altogether.
