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Response of inflation to shocks: New evidence from Sub-Saharan African countries

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  • Narayan, Paresh Kumar

Abstract

In this paper, we investigate whether or not the inflation rate of 17 Sub-Saharan African countries can be modelled as a stationary process. We achieve this goal through using univariate and panel stationarity tests for data over the period 1966 to 2002. We use the Kwiatkowski, Phillips, Schmidt and Shin (KPSS, 1992) univariate test and allow for multiple structural breaks. We find that except for Burkina Faso, Burundi and Gambia, the inflation rate is stationary for the rest of the 14 countries. We then apply the panel version of the KPSS test, developed by Carrion-i-Silvestre et al. (2005), which accounts for multiple structural breaks. We find strong evidence of panel stationarity of the inflation rate. However, for a panel consisting of Burkina Faso, Burundi and Gambia, we could not find evidence that the inflation rate is stationary.

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  • Narayan, Paresh Kumar, 2014. "Response of inflation to shocks: New evidence from Sub-Saharan African countries," Economic Modelling, Elsevier, vol. 36(C), pages 378-382.
    • Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:378-382
    DOI: 10.1016/j.econmod.2013.10.016
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    More about this item

    Keywords

    Multiple structural breaks; Panel stationarity; Inflation rate; Sub-Saharan African countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development
    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity

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