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The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework

Author

Listed:
  • Rangan Gupta

    () (Department of Economics, University of Pretoria)

  • Charl Jooste

    () (Department of Economics, University of Pretoria)

  • Omid Ranjbar

    () (Ministry of Industry, Mine and Trade, Tehran, Iran)

Abstract

We study inflation persistence in South Africa using a quantile regression approach. We control for structural breaks using a quantile structural break test on a long span of inflation data. Our study includes persistence estimates for headline and core inflation - thus controlling for possible biases emanating from extremely volatile periods. South Africa's inflation persistence is lowest during the inflation targeting period regardless of the inflation measure. Inflation persistence is also constant over all quantiles during the inflation targeting regime for core inflation. There is a difference between the estimates from headline and core - headline persistence increases in relation to higher quantiles. Thus energy and food price shocks might de-stabilise inflation altogether.

Suggested Citation

  • Rangan Gupta & Charl Jooste & Omid Ranjbar, 2015. "The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework," Working Papers 201563, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201563
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    References listed on IDEAS

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    More about this item

    Keywords

    Inflation persistence; quantile regression; structural breaks;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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