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

被引：3
|
作者：
Devpura, Neluka [1 ,2 ]
Sharma, Susan Sunila [3 ]
Harischandra, P. K. G. [4 ]
Pathberiya, Lasitha R. C. [4 ]
机构：
[1] Asia Pacific Appl Econ Assoc, Nugegoda, Sri Lanka
[2] Univ Sri Jayewardenepura, Fac Appl Sci, Nugegoda, Sri Lanka
[3] Deakin Univ, Fac Business & Law, Deakin Business Sch, Dept Finance, Melbourne, Vic, Australia
[4] Cent Bank Sri Lanka, Colombo, Sri Lanka
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2021年 / 68卷
关键词：
Monetary policy; Inflation; Persistency; Structural breaks; Rolling window; EURO AREA; SERIES; BREAK; GOLD;
D O I：
10.1016/j.pacfin.2021.101577
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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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页数：17
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