Time-varying persistence of inflation : evidence from a wavelet-based approach

dc.contributor.authorBoubaker, Heni
dc.contributor.authorCanarella, Giorgio
dc.contributor.authorGupta, Rangan
dc.contributor.authorMiller, Stephen M.
dc.date.accessioned2017-11-03T12:19:28Z
dc.date.issued2017-09
dc.description.abstractWe propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet approach, using the instantaneous least squares estimator (ILSE). The empirical results show the relevance of the modeling approach and provide evidence of regime change in inflation persistence that contributes to a better understanding of the inflationary process in the US. Most importantly, these empirical findings remind us that a "one-size-fits-all" monetary policy is unlikely to work in all circumstances.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2018-09-30
dc.description.librarianam2017en_ZA
dc.description.urihttp://www.degruyter.com/view/j/sndeen_ZA
dc.identifier.citationBoubaker, H., Canarella, G., Gupta, R. & Miller, S.M. 2017, 'Time-varying persistence of inflation : evidence from a Wavelet-based approach', Studies in Nonlinear Dynamics and Econometrics, vol. 21, no. 4, pp. 1-38.en_ZA
dc.identifier.issn1558-3708 (online)
dc.identifier.other10.1515/snde-2016-0130
dc.identifier.urihttp://hdl.handle.net/2263/63019
dc.language.isoenen_ZA
dc.publisherDe Gruyteren_ZA
dc.rights© 2017 Walter de Gruyter GmbH, Berlin/Bostonen_ZA
dc.subjectTime-varying long-memoryen_ZA
dc.subjectLSTAR modelen_ZA
dc.subjectMODWT algorithmen_ZA
dc.subjectLogistic smooth transition autoregressive (LSTAR)en_ZA
dc.subjectInstantaneous least squares estimator (ILSE)en_ZA
dc.subjectMaximum overlap discrete wavelet transform (MODWT)en_ZA
dc.titleTime-varying persistence of inflation : evidence from a wavelet-based approachen_ZA
dc.typePostprint Articleen_ZA

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