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Persistence in International Inflation Rates

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  • Christopher F. Baum
  • John T. Barkoulas
  • Mustafa Caglayan

Abstract

We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for 27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long‐memory features is found in both CPI‐ and WPI‐based inflation rates for industrial as well as developing countries. Implications of the findings are considered, and sources of long memory are hypothesized.

Suggested Citation

  • Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1999. "Persistence in International Inflation Rates," Southern Economic Journal, John Wiley & Sons, vol. 65(4), pages 900-913, April.
    • Handle: RePEc:wly:soecon:v:65:y:1999:i:4:p:900-913
    DOI: 10.1002/j.2325-8012.1999.tb00207.x
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    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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