Template-Type: ReDIF-Paper 1.0
Author-Name: Juan Carlos Cuestas
Author-Name: Estefanía Mourelle
Title: Inflation persistence and asymmetries: evidence for African countries
Abstract: In this paper we aim at testing the inflation persistence hypothesis as well as modelling (using logistic smooth transition autoregressive, LSTAR, models) the long run behaviour of inflation rates in a pool of African countries. In order to do so, we rely on unit root tests applied to nonlinear models, i.e. Kapetanios et al. (2003). The results point to the non-persistence of inflation hypothesis for most of the countries. In addition, the estimated models are stable in the sense that the variable tends to remain in the regime (low inflation or high inflation) once reached and changes between regimes are only achieved after a shock.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0015/310308/Inflation-persistence-and-asymmetries.pdf
File-Format: Application/pdf
File-Function: First version, 2009
Creation-Date: 2009-02
Classification-JEL: C32, E31, F15.
Keywords: Inflation, Persistence, Unit Roots, Nonlinearities.
Handle: RePEc:nbs:wpaper:2009/2