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Fractional integration of inflation rates: a note


  • Paolo Zagaglia


This note studies the persistence of CPI inflation for 12 OECD countries. The fraction order of integration is estimated through the wavelet-OLS estimator of Jensen (1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.

Suggested Citation

  • Paolo Zagaglia, 2009. "Fractional integration of inflation rates: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1103-1105.
  • Handle: RePEc:taf:apeclt:v:16:y:2009:i:11:p:1103-1105 DOI: 10.1080/13504850701335384

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    Cited by:

    1. Paul Alagidede & Simeon Coleman & Juan Carlos Cuestas, 2010. "Persistence of Inflationary Shocks: Implications for West African Monetary Union Membership," Working Papers 2010/8, Nottingham Trent University, Nottingham Business School, Economics Division.
    2. Alagidede, Paul & Coleman, Simeon & Cuestas, Juan Carlos, 2012. "Inflationary shocks and common economic trends: Implications for West African monetary union membership," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 460-475.
    3. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012. "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
    4. Daniel Agyapong & Anokye M. Adam, 2012. "Exchange Rate Behaviour: Implication for West African Monetary Zone," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(4), pages 215-228, October.
    5. repec:eee:jebusi:v:92:y:2017:i:c:p:45-62 is not listed on IDEAS

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