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Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model

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  • Phiri, Andrew

Abstract

Using the recently-introduced quantile autoregression methodology (QAR), this study contributes to the ever-expanding empirical literature by investigating the persistence in inflation for BRICS countries using quarterly time series data collected between 1996 to 2016. Our empirical analysis reveals two crucial findings. Firstly, for all estimated regressions, persistence in moderate to high inflation rates in the QAR regression exhibits unit root tendencies. Secondly, we note that inflation persistence varies across different time horizons corresponding to periods priori and subsequent to the global financial crisis. These findings have important implications for Central Banks in BRICs countries.

Suggested Citation

  • Phiri, Andrew, 2017. "Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model," MPRA Paper 79956, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:79956
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    File URL: https://mpra.ub.uni-muenchen.de/79956/1/MPRA_paper_79956.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    BRICS; Emerging economies; Inflation persistence; Quantile regression.;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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