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South Africa’s inflation persistence: a quantile regression framework

Author

Listed:
  • Rangan Gupta

    () (University of Pretoria)

  • Charl Jooste

    () (University of Pretoria)

  • Omid Ranjbar

    () (Ministry of Industry, Mine and Trade)

Abstract

Abstract We study inflation persistence in South Africa using a quantile regression approach (We would like to thank two anonymous referees for many helpful comments. However, any remaining errors are solely ours). We control for structural breaks using a quantile structural break test on a long span of inflation data. Our study includes persistence estimates for headline and core inflation—thus controlling for possible biases emanating from extremely volatile periods. South Africa’s inflation persistence is lowest during the inflation targeting period regardless of the inflation measure. Inflation persistence is also constant over all quantiles during the inflation targeting regime for core inflation. There is a difference between the estimates from headline and core—headline persistence increases in relation to higher quantiles. Thus energy and food price shocks might de-stabilise inflation altogether.

Suggested Citation

  • Rangan Gupta & Charl Jooste & Omid Ranjbar, 2017. "South Africa’s inflation persistence: a quantile regression framework," Economic Change and Restructuring, Springer, vol. 50(4), pages 367-386, November.
  • Handle: RePEc:kap:ecopln:v:50:y:2017:i:4:d:10.1007_s10644-016-9192-z
    DOI: 10.1007/s10644-016-9192-z
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    References listed on IDEAS

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    Cited by:

    1. Phiri, Andrew, 2017. "Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model," MPRA Paper 79956, University Library of Munich, Germany.

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