IDEAS home Printed from https://ideas.repec.org/p/ajx/wpaper/9.html
   My bibliography  Save this paper

How persistent is inflation in Kazakhstan? A fractionally integrated approach

Author

Listed:
  • Alisher Tolepbergen

    (NAC Analytica, Nazarbayev University)

Abstract

The paper analyzes persistence properties of monthly inflation and its components in Kazakhstan using fractionally integrated approach for the period between February 2001 and June 2020. The results suggest the presence of long memory behavior in inflation series. General inflation, food inflation, and non-food inflation experience a break in late 2015 when the National Bank of Kazakhstan announced a shift in the monetary policy regime. The evidence for the effect of the policy change on inflation persistence is mixed. Non-food inflation is fractionally cointegrated with the nominal depreciation rate. Finally, the estimation of persistence parameter is sensitive to the choice of data frequency.

Suggested Citation

  • Alisher Tolepbergen, 2020. "How persistent is inflation in Kazakhstan? A fractionally integrated approach," NAC Analytica Working Paper 9, NAC Analytica, Nazarbayev University, revised Feb 2021.
    • Handle: RePEc:ajx:wpaper:9
    as

    Download full text from publisher

    File URL: https://nacanalytica.com/images/macro/Papers/How_persistent_is_inflation_in_Kazakhstan.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Inflation; persistence; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ajx:wpaper:9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alisher Tolepbergen (email available below). General contact details of provider: https://edirc.repec.org/data/nacnukz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.