Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test

被引：4
|
作者：
Bolat, Suleyman [1 ,2 ]
Tiwari, Aviral Kumar [3 ,4 ]
Kyophilavong, Phouphet [5 ]
机构：
[1] Aksaray Univ, Dept Publ Finance, Aksaray, Turkey
[2] Univ Exeter, TARC, Exeter, Devon, England
[3] IBS IFHE Hyderabad, Fac Management, Room C-204, Hyderabad, Andhra Pradesh, India
[4] Montpellier Business Sch, Montpellier, France
[5] Natl Univ Laos, Fac Econ & Business Management, Viangchan, Laos
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2017年 / 42卷
关键词：
Inflation rate; Quantile regression; Seasonal unit root test; MENA countries; ROBUST MONETARY-POLICY; TIME-SERIES; PERSISTENCE; UNCERTAINTY; HETEROSCEDASTICITY; COINTEGRATION; MODELS; SHIFTS;
D O I：
10.1016/j.ribaf.2017.07.043
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal unit root test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal unit root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.
引用
收藏
页码：1089 / 1095
页数：7
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