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Fractional Integration and the Persistence of UK Inflation, 1210–2016

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  • Guglielmo Maria Caporale
  • Luis Alberiko Gil‐Alana

Abstract

This note examines the degree of persistence of UK inflation by applying fractional integration methods to historical data spanning the period 1210–2016; the chosen approach is more general than the popular ARMA models based on the classical I(0) vs. I(1) dichotomy. The full‐sample results do not suggest that UK inflation is a persistent process; however, the recursive analysis indicates an increase in the degree of persistence in the 16th century and more recently after WWI and in the last quarter of the 20th century. On the whole, monetary and exchange rate regime changes do not appear to have had a significant impact on the stochastic behaviour of inflation if one takes a long‐run, historical perspective.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana, 2020. "Fractional Integration and the Persistence of UK Inflation, 1210–2016," Economic Papers, The Economic Society of Australia, vol. 39(2), pages 162-166, June.
    • Handle: RePEc:bla:econpa:v:39:y:2020:i:2:p:162-166
    DOI: 10.1111/1759-3441.12275
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    References listed on IDEAS

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    Cited by:

    1. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza, 2022. "Inflation in the G7 countries: persistence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 493-506, July.
    2. Dąbrowski, Marek A. & Janus, Jakub & Mucha, Krystian, 2025. "Shades of inflation targeting: insights from fractional integration," MPRA Paper 123455, University Library of Munich, Germany.

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