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Inflation dynamics in Tunisia: a smooth transition autoregressive approach

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  • Boukraine, Wissem

Abstract

The fact that inflation is still on the rise, despite measures undertaken by the Tunisian central bank, prompts questions as to whether or not inflation dynamics has changed, exhibiting higher levels of persistence and volatility. This paper employs the smooth transition autoregressive model (STAR) to analyze Tunisian inflation dynamics on monthly data over the last three decades. We distinguish three periods based on monetary reforms. The non-linearity tests suggest that the ESTAR specification describes better the behavior of inflation. Our results suggest changes in persistence and important shifts in volatility, which confirm the effectiveness of the monetary reforms to a certain extent given the past political instability and the democratic transition in Tunisia.

Suggested Citation

  • Boukraine, Wissem, 2020. "Inflation dynamics in Tunisia: a smooth transition autoregressive approach," MPRA Paper 101886, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101886
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    References listed on IDEAS

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    Cited by:

    1. Wissem Boukraine & Hella Guerchi Mehri, 2022. "Should Tunisian Optimal Monetary Policy React to Wage Inflation? Evidence From A DSGE Model with Labor Market Frictions," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 75(1), pages 29-50.

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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