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Persistence in International Inflation Rates Author info | Abstract | Publisher info | Download info | Related research | Statistics Christopher F. Baum () (Boston College)
John Barkoulas (Louisiana Tech University)
Mustafa Caglayan (Koc University)
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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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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 1996Date of revision:
Publication status: published, Southern Economic Journal, 65:4 (1999), 900-914.Handle: RePEc:boc:bocoec:333Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).
Keywords: fractional dynamics ; inflation ; long memory ; Other versions of this item:
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; Dynamic Quantile Regressions
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Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996.
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D.J.C. Van Dijk & P.H. Franses & R. Paap, 2000.
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