When a central bank commits credibly to a nonaccommodative monetary policy, observed inflation should be a stationary process. In countries where, for a variety of reasons, the determinants of inflation could lead it to follow a nonstationary process, the adoption of a credible disinflationary programme should therefore induce a fundamental change in the stochastic process governing inflation and, in particular, should diminish its persistence. This article studies the time-series properties of both inflation and core inflation during the 1995-2006 period for the Mexican economy, using recently developed techniques to detect a change in the persistence of economic time series. Consistently with the adoption of an inflation-targeting framework, the results suggest that inflation in Mexico seems to have indeed switched from a nonstationary to a stationary process around the end of year 2000 or the beginning of 2001.
Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Banco de MéxicoAbstract We study the dynamics of inflation persistence in 45 countries for the period 1960-2008. We use a nonparametric unit root test robust to nonlinearities, error distributions, structural breaks and outliers, many of them typical features of inflation data, and a test for multiple changes in persistence, which decomposes the sample information between adjacent I(0) and I(1) periods. We find that (1) With very few exceptions, inflation around the world rejects a unit root, (2) for several countries there is evidence of significant changes in persistence, (3) bursts and drops in the level of inflation and in inflation persistence tend to coincide, (4) these drops occurred during "the Great Moderation" and during the adoption of inflation targeting. We conclude that inflation is characterized by either a stationary behaviour throughout the sample, or by switches of the type I(0)-I(1)-I(0). For all countries in our sample, any indication of nonstationarity seems to be temporary. Keywords: Inflation, Multiple persistence change, Stationarity, Unit root tests, Unknown direction of change, Monetary policy. JEL Classification: C12, C22, E31, E52, E58Resumen Estudiamos la dinámica de la persistencia de la inflación en 45 países para el periodo 1960-2008. Utilizamos inicialmente una prueba no paramétrica de raíz unitaria robusta a muchas de las características típicas de los datos de inflación: no linealidades, distribución de los errores, cambios estructurales y observaciones atípicas. En seguida utilizamos una prueba de cambios múltiples en persistencia, que descompone la información muestral en periodos adyacentes I(0) e I(1). Encontramos que (1) Con muy pocas excepciones, la inflación alrededor del mundo rechaza la presencia de una raíz unitaria, (2) Para varios países existe evidencia de cambios significativos en persistencia, (3) Estallidos y caídas en el nivel y en la persistencia de la inflación tienden a coincidir, (4) Estas caídas ocurrieron durante "la Gran Moderación" y durante la adopción del esquema de objetivos de inflación. Concluimos que la inflación se caracteriza por tener un comportamiento ya sea estacionario a lo largo de la muestra, o por observar cambios del tipo I(0)-I(1)-I(0). Para todos los países en nuestra muestra, cualquier indicación de no estacionariedad parece ser temporal. Palabras Clave: Inflación, Cambios múltiples en persistencia, Estacionariedad, Pruebas de raíz unitaria, Direcció...
This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic as well as stochastic. In particular, we derive the order in probability of the t−statistic in a linear regression equation under a variety of empirically relevant data generation processes, and show that the spurious regression phenomenon is present in all cases considered, when at least one of the variables behaves in a nonstationary way. Simulation experiments confirm our asymptotic results.
We study the phenomenon of spurious regression between two random variables, when the generating mechanism of individual series is assumed to follow a stationary process around a trend with (possibly) multiple breaks in the level and slope of trend. We develop the relevant asymptotic theory and show that the phenomenon of spurious regression occurs independently of the structure assumed for the errors. In contrast to previous findings, the presence of a spurious relationship will be less severe when breaks are present in the generating mechanism of individual series. This is true whether the regression model includes a linear trend or not. Simulations confirm our asymptotic results, and reveal that in finite samples, the phenomenon of spurious regression is sensitive to the presence of a linear trend in the regression model, and to the relative location of breaks within the sample.
Establecemos un modelo teórico en que la inversión en infraestructura complementa la inversión privada. Luego aportamos datos de series de tiempo en México del efecto de la infraestructura pública en la producción, y si estos niveles han sido fijados de manera óptima. En particular, estudiamos los efectos de largo plazo de choques en infraestructura en la producción real. Calculamos derivadas de largo plazo para los kilovatios de electricidad, los kilómetros de caminos y el número de líneas telefónicas instaladas. Encontramos que los choques en la infraestructura tienen efectos positivos y significativos en la producción para electricidad y caminos. Nuestros resultados respaldan los modelos en los que el crecimiento de largo plazo es causado por factores de producción endógenos. Para la electricidad y los caminos, la provisión de infraestructura no alcanza el nivel óptimo que maximiza el crecimiento.
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