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Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach

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  • Giorgio Canarella

    (Department of Economics, University of Nevada)

  • Stephen M Miller

    (Department of Economics, University of Nevada)

Abstract

We investigate the persistence in the inflation series for 13 OECD countries that explicitly adopted an inflation targeting (IT) regime before 1992. Mean reversion and stationarity as well as mean reversion and non-stationarity exist in the pre-IT period, while mean reversion and stationarity characterize the post-IT period. Inflation exhibits fractional integration behavior over the entire sample period, the pre-IT period, and, in most cases, also in the post-IT period. The adoption of IT coincides with a structural break in all inflation series and marks a decrease in the point estimates of inflation persistence in most countries.

Suggested Citation

  • Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
  • Handle: RePEc:pal:easeco:v:43:y:2017:i:1:d:10.1057_eej.2015.36
    DOI: 10.1057/eej.2015.36
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    3. Nikolaos Antonakakis & Christina Christou & Luis A. Gil-Alana & Rangan Gupta, 2020. "Inflation-Targeting and Inflation Volatility: International Evidence from the Cosine-Squared Cepstrum," Working Papers 202021, University of Pretoria, Department of Economics.
    4. Antonakakis, Nikolaos & Christou, Christina & Gil-Alana, Luis A. & Gupta, Rangan, 2021. "Inflation-targeting and inflation volatility: International evidence from the cosine-squared cepstrum," International Economics, Elsevier, vol. 167(C), pages 29-38.
    5. Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2021. "Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 289-310, December.
    6. Tule, Moses K. & Salisu, Afees A. & Ebuh, Godday U., 2020. "A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques," Economic Modelling, Elsevier, vol. 87(C), pages 225-237.
    7. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2016. "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working Papers 201683, University of Pretoria, Department of Economics.
    8. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
    9. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.

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