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Multiple Structural Breaks and Inflation Persistance in Belarus


  • Igor Pelipas


This paper address the issue of assessing inflation persistence in Belarus using quarterly seasonally adjusted data over 1996–2011. To detect multiple structural breaks during the analyzed period, we applied recently developed and practically implemented in OxMetrics software impulse indicator saturation technique. Impulse indicator saturation break test allowed us to detect three structural breaks in dynamics of GDP deflator inflation and CPI inflation, including one at the end of the examined sample. All detected break dates have a clear-cut economic interpretation. Taking these structural brakes into account, while testing for dynamics properties of inflation and its persistence, we found that GDP deflator inflation and CPI inflation in Belarus are stationary variables with the changing means. Formal unit root testing with multiple structural breaks demonstrated that non-stationarity is rejected at one per cent significance level. The point estimates if inflation persistence for GDP deflator and CPI inflation are quite small (0.32 and 0.53 respectively). GDP deflator inflation and CPI inflation return to its equilibrium level after a shock in about 1.5 and 2 quarter correspondently. Thus, one can consider inflation persistence in Belarus over the sample period as a quite moderate. These results have the explicit policy implications. Low inflation persistence in Belarus is a sound prerequisite for macroeconomic stabilization and anti-inflation monetary policy. Additionally, the stationarity of inflation can be considered as an important element of the technical possibilities of implementing inflation targeting in Belarus.

Suggested Citation

  • Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
  • Handle: RePEc:bel:wpaper:21

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    References listed on IDEAS

    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
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    More about this item


    inflation persistence; univariate model; multiple structural brakes; means reversion; impulse indicator saturation; Autometrics;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation


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