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Inflation persistence and asymmetries: evidence for African countries

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  • Juan Carlos Cuestas
  • Estefanía Mourelle

Abstract

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.

Suggested Citation

  • Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division.
  • Handle: RePEc:nbs:wpaper:2009/2
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    References listed on IDEAS

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    Cited by:

    1. Francis Leni Anguyo & Rangan Gupta & Kevin Kotze, 2017. "Inflation Dynamics in Uganda: A Quantile Regression Approach," School of Economics Macroeconomic Discussion Paper Series 2017-07, School of Economics, University of Cape Town.
    2. Coleman, Simeon, 2010. "Inflation persistence in the Franc zone: Evidence from disaggregated prices," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 426-442, March.

    More about this item

    Keywords

    Inflation; Persistence; Unit Roots; Nonlinearities.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F15 - International Economics - - Trade - - - Economic Integration

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