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Is inflation persistent? Evidence from a time-varying unit root model

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  • Devpura, Neluka
  • Sharma, Susan Sunila
  • Harischandra, P.K.G.
  • Pathberiya, Lasitha R.C.

Abstract

In this paper, we examine the time-varying persistency of inflation for 36 Asian economies. We extend the Narayan and Popp (2010) unit root model with two endogenous structural breaks to a time-varying structural break model. Our study provides strong evidence of time-varying persistency for all Asian economies. The structural break dates are found to be statistically significant. We also document that the break dates coincide with changes in the monetary policy frameworks of the respective Asian economies, as well as with the global financial crisis.

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  • Devpura, Neluka & Sharma, Susan Sunila & Harischandra, P.K.G. & Pathberiya, Lasitha R.C., 2021. "Is inflation persistent? Evidence from a time-varying unit root model," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000846
    DOI: 10.1016/j.pacfin.2021.101577
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    2. Zhenxin Wang & Shaoping Wang & Yayi Yan, 2024. "Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3181-3205, December.

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