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Persistence in International Inflation Rates
Author(s) -
Baum Christopher F.,
Barkoulas John T.,
Caglayan Mustafa
Publication year - 1999
Publication title -
southern economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.762
H-Index - 58
eISSN - 2325-8012
pISSN - 0038-4038
DOI - 10.1002/j.2325-8012.1999.tb00207.x
Subject(s) - inflation (cosmology) , economics , long memory , econometrics , index (typography) , persistence (discontinuity) , price index , inflation rate , wholesale price index , consumer price index (south africa) , monetary economics , price level , monetary policy , computer science , volatility (finance) , physics , geotechnical engineering , mid price , world wide web , theoretical physics , engineering
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.