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South Africa’s inflation persistence: a quantile regression framework

Listed author(s):
  • Rangan Gupta

    ()

    (University of Pretoria)

  • Charl Jooste

    ()

    (University of Pretoria)

  • Omid Ranjbar

    ()

    (Ministry of Industry, Mine and Trade)

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.

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File URL: http://link.springer.com/10.1007/s10644-016-9192-z
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Article provided by Springer in its journal Economic Change and Restructuring.

Volume (Year): 50 (2017)
Issue (Month): 4 (November)
Pages: 367-386

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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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Order Information: Web: http://www.springer.com/economics/development/journal/10644/PS2

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  1. Sebastiano Manzan & Dawit Zerom, 2015. "Asymmetric Quantile Persistence and Predictability: the Case of US Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(2), pages 297-318, April.
  2. Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587.
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  4. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  5. Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
  6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
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  8. Oka, Tatsushi & Qu, Zhongjun, 2011. "Estimating structural changes in regression quantiles," Journal of Econometrics, Elsevier, vol. 162(2), pages 248-267, June.
  9. Tsong, Ching-Chuan & Lee, Cheng-Feng, 2011. "Asymmetric inflation dynamics: Evidence from quantile regression analysis," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 668-680.
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