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Inflation persistence and asymmetries: evidence for African countries

  • Juan Carlos Cuestas
  • Estefanía Mourelle

In this paper we aim at testing the inflation persistence hypothesis as well as modelling (using logistic smooth transition autoregressive, LSTAR, models) the long run behaviour of inflation rates in a pool of African countries. In order to do so, we rely on unit root tests applied to nonlinear models, i.e. Kapetanios et al. (2003). The results point to the non-persistence of inflation hypothesis for most of the countries. In addition, the estimated models are stable in the sense that the variable tends to remain in the regime (low inflation or high inflation) once reached and changes between regimes are only achieved after a shock.

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File URL: http://www.ntu.ac.uk/research/document_uploads/85428.pdf
File Function: First version, 2009
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Paper provided by Nottingham Trent University, Nottingham Business School, Economics Division in its series Working Papers with number 2009/2.

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Date of creation: Feb 2009
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Handle: RePEc:nbs:wpaper:2009/2
Contact details of provider: Web page: http://www.ntu.ac.uk/nbs

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  4. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
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  20. Juan Carlos Cuestas & Estefania Mourelle, 2008. "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," Working Papers 2008/8, Nottingham Trent University, Nottingham Business School, Economics Division.
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