Multiple Structural Breaks and Inflation Persistance in Belarus
This paper address the issue of assessing inflation persistence in Belarus using quarterly seasonally adjusted data over 1996â€“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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- BAI, Jushan & PERRON, Pierre, 1998.
"Computation and Analysis of Multiple Structural-Change Models,"
Cahiers de recherche
9807, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- Andrew T. Levin & Jeremy M. Piger, 2003.
"Is inflation persistence intrinsic in industrial economies?,"
2002-023, Federal Reserve Bank of St. Louis.
- Levin, Andrew T. & Piger, Jeremy M., 2004. "Is inflation persistence intrinsic in industrial economies?," Working Paper Series 0334, European Central Bank.
- Andrew Levin & Jeremy Piger, 2003. "Is Inflation Persistence Intrinsic in Industrial Economies?," Computing in Economics and Finance 2003 298, Society for Computational Economics.
- Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
- Dias, Daniel A. & Marques, Carlos Robalo, 2010.
"Using mean reversion as a measure of persistence,"
Elsevier, vol. 27(1), pages 262-273, January.
- Dias, Daniel & Robalo Marques, Carlos, 2005. "Using mean reversion as a measure of persistence," Working Paper Series 0450, European Central Bank.
- Daniel Dias & Carlos Robalo Marques, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers w200503, Banco de Portugal, Economics and Research Department.
- Perron, P. & Bai, J., 1995.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche
9552, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Neil R. Ericsson & James G. MacKinnon, 2000.
"Distributions of Error Correction Tests for Cointegration,"
Econometric Society World Congress 2000 Contributed Papers
0561, Econometric Society.
- Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, 06.
- Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012.
"Model selection when there are multiple breaks,"
Journal of Econometrics,
Elsevier, vol. 169(2), pages 239-246.
- Carlos Robalo Marques, 2004.
"Inflation Persistence: Facts or Artefacts?,"
w200408, Banco de Portugal, Economics and Research Department.
- Carlos Robalo Marques, 2005. "Inflation persistence: facts or artefacts?," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department, pages -.
- Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
- Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
- Igor Pelipas, 2011. "Structural Breaks and Dynamic Characteristics of Inflation and Growth Rates of Monetary Aggregates," BEROC Working Paper Series 15, Belarusian Economic Research and Outreach Center (BEROC).
- Maria Alberta Oliveira & Carlos Santos, 2010. "Looking for a change point in French monetary policy in the early eighties," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 387-392.
- Carlos Santos & David Hendry & Soren Johansen, 2008.
"Automatic selection of indicators in a fully saturated regression,"
Springer, vol. 23(2), pages 317-335, April.
- David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Carlos Santos & David Hendry, 2006. "Saturation in Autoregressive Models," Notas Económicas, Faculty of Economics, University of Coimbra, issue 24, pages 8-19, December.
When requesting a correction, please mention this item's handle: RePEc:bel:wpaper:21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Svetlana Yakubovskaya)
If references are entirely missing, you can add them using this form.