Inflation Targeting and the Stationarity of Inflation: New Results from an ESTAR Unit Root Test
AbstractIn this paper we examine the time series properties of inflation in seven countries that have adopted inflation targeting. Unlike previous studies we utilize a non-linear mean reverting adjustment mechanism for inflation and we discover that although deviations of inflation from the target can exhibit a region of non-stationary behavior, overall they are stationary indicating successful targeting implementation.
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Bibliographic InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2005_10.
Date of creation: Oct 2005
Date of revision:
Other versions of this item:
- Andros Gregoriou & Alexandros Kontonikas, 2006. "Inflation Targeting And The Stationarity Of Inflation: New Results From An Estar Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 58(4), pages 309-322, October.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-ETS-2005-10-22 (Econometric Time Series)
- NEP-MAC-2005-10-22 (Macroeconomics)
- NEP-MON-2005-10-22 (Monetary Economics)
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