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Persistence in International Inflation Rates

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Author Info

  • Christopher F. Baum

    ()
    (Boston College)

  • John Barkoulas

    (Louisiana Tech University)

  • Mustafa Caglayan

    (Koc University)

Abstract

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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File URL: http://fmwww.bc.edu/EC-P/wp333.pdf
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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 333..

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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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Web page: http://fmwww.bc.edu/EC/
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Related research

Keywords: fractional dynamics; inflation; long memory;

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  1. Yin-Wong Cheung & Francis X. Diebold, 1990. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Discussion Paper / Institute for Empirical Macroeconomics 34, Federal Reserve Bank of Minneapolis.
  2. Brunner, Allan D & Hess, Gregory D, 1993. "Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 187-97, April.
  3. Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996. "Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," CEPR Discussion Papers 1464, C.E.P.R. Discussion Papers.
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