Persistence, mean reversion and nonlinearities in inflation rates of developed and developing countries using over one century of data
Loading...
Date
Authors
Gil-Alana, Luis A.
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
Abstract
This study examines inflation over one century of data for 29 countries based on fractional integration incorporating nonlinearities to account for structural breaks and asymmetry in the process of inflation. The results suggest that the degree of persistence is that, while there is evidence of long‐memory behavior in the inflation rates of 17 countries, barring Russia, none of the remaining 28 countries indicate evidence of unit roots. 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, with the strongest being in Russia.
Description
Keywords
Inflation, Developed countries, Developing countries, Long span annual data, Long memory, Nonlinearity
Sustainable Development Goals
Citation
Gil-Alana, L. & Gupta, R. 2019, 'Persistence, mean reversion and nonlinearities in inflation rates of developed and developing countries using over one century of data', The Manchester School, vol. 87, no. 1, pp. 24-36.