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The cyclical structure of the UK inflation rate: 1210–2016

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  • Gil-Alana, Luis A.
  • Trani, Tommaso

Abstract

In this paper, we examine the cyclical structure of the UK inflation rate using historical data dating back to 1210. Based on a methodology that allows for fractional orders of integration at a non-zero frequency and stochastic cycles, the results indicate the presence of cycles that repeat themselves approximately every 4 years and that the order of integration is constrained between 0.10 and 0.20, implying long memory. Moreover, this pattern seems to be stable over time.

Suggested Citation

  • Gil-Alana, Luis A. & Trani, Tommaso, 2019. "The cyclical structure of the UK inflation rate: 1210–2016," Economics Letters, Elsevier, vol. 181(C), pages 182-185.
    • Handle: RePEc:eee:ecolet:v:181:y:2019:i:c:p:182-185
    DOI: 10.1016/j.econlet.2019.05.032
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    References listed on IDEAS

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    1. L. A. Gil‐Alana, 2001. "Testing Stochastic Cycles in Macroeconomic Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(4), pages 411-430, July.
    2. Violetta Dalla & Javier Hidalgo, 2005. "A Parametric Bootstrap Test for Cycles," STICERD - Econometrics Paper Series 486, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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    5. Cogley, Timothy & Sargent, Thomas J. & Surico, Paolo, 2015. "Price-level uncertainty and instability in the United Kingdom," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 1-16.
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    8. Ching‐Fan Chung, 1996. "A Generalized Fractionally Integrated Autoregressive Moving‐Average Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(2), pages 111-140, March.
    9. Romer, Christina, 1986. "Spurious Volatility in Historical Unemployment Data," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 1-37, February.
    10. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana & Tommaso Trani, 2022. "On the persistence of UK inflation: A long‐range dependence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 439-454, January.
    11. Luca Benati, 2008. "Investigating Inflation Persistence Across Monetary Regimes," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 123(3), pages 1005-1060.
    12. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261.
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    14. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
    15. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
    16. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
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    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "Cycles and Long-Range Behaviour in the European Stock Markets," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 293-302, Springer.

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    More about this item

    Keywords

    UK inflation; Persistence; Fractional integration;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • 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

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