We test for fractional dynamics in CPI-based inflation rates for twenty-seven countries and WPI-based inflation rates for twenty-two countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI- and WPI-based inflation rates for industrial as well as developing countries. Implications of the findings are considered and sources of long memory are hypothesized.
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Length: 34 pages Date of creation: 01 Jan 1996 Date of revision: Publication status: published, Southern Economic Journal, 65:4 (1999), 900-914. Handle: RePEc:boc:bocoec:333
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Find related papers by JEL classification: E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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Barkoulas, John T & Baum, Christopher F & Caglayan, Mustafa, 1999.
"Fractional Monetary Dynamics,"
Applied Economics,
Taylor and Francis Journals, vol. 31(11), pages 1393-1400, November.
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