Persistence in International Inflation Rates
We test for fractional dynamics in CPI-based inflation rates for twenty-seven countries and WPI-based inflation rates for twenty-two countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI- and WPI-based inflation rates for industrial as well as developing countries. Implications of the findings are considered and sources of long memory are hypothesized.
|Date of creation:||01 Jan 1996|
|Date of revision:|
|Publication status:||published, Southern Economic Journal, 65:4 (1999), 900-914.|
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