A threshold in inflation dynamics: evidence from emerging countries

Khadaroo, Ahmad Jameel

doi:10.1080/0003684042000295296

Cited by 7 publications

(4 citation statements)

References 6 publications

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“…The SETAR model of wind speed is useful in modeling time series in many areas according to the range where the data of the observations allow for different models. Mostly, the SETAR model was created in stock market data and financial data [6,7,9,10,13,17,18,19,21,25,29], and it was also applied in biological and medical data ( [8,16,28,30]), climate and meteorology data ( [20]), traffic data ( [32]).…”

Section: Introductionmentioning

confidence: 99%

Estimation of Wind Speed Data with Setar Model

Kahraman

Arsel

Genç

et al. 2022

Journal of Engineering Technology and Applied Sciences

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The threshold model allows expression with different Autoregressive Moving Average (ARMA) models sorted according to the threshold value of the observations. In this study, nineteen years of observed wind speed data have been modeled with the Self Exciting Threshold Autoregressive (SETAR) model. Two different Autoregressive (AR(3)) models have been obtained for the situation where the wind speed was below and above 2.5 m / s of the previous observation in the time series. In addition, in the SETAR (1,3,3) model, it has been determined that the residual terms have the effect of GARCH (1,1) and a range has been estimated for model predictions.

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Section: Introductionmentioning

confidence: 99%

Estimation of Wind Speed Data with Setar Model

Kahraman

Arsel

Genç

et al. 2022

Journal of Engineering Technology and Applied Sciences

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“…Conversely, as the SARC approaches zero, then inflation becomes less persistent and increasing stationary hence rendering the time series more controllable by monetary authorities. Up-to-date, there have been a dearth of empirical studies which have estimated SARC of the inflation process for industrialised countries (Gadzinski & Orlandi, 2004;Batini, 2006;Cuestas & Harrison, 2010;Gerlach & Tillman, 2012;Wolters & Tillman, 2015), developing countries (Khadaroo, 2005;Rangasamy, 2009;Mourelle et al, 2011;Gil-Alana, 2011;Phiri (2012;2017); Balcilar et al, 2016;Gil-Alana et al, 2016;Gupta et al, 2017) and mixed economies (Antonakakis et al, 2016) with these studies providing a variety of conflicting empirical evidences for the differing economies under investigation.…”

Section: Introductionmentioning

confidence: 99%

Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach

Phiri

2018

BEH

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Using the quantile autoregression methodology (QAR), this study contributes to the everexpanding empirical literature by investigating the persistence in inflation for BRICS countries using quarterly time series data collected between 1996 to 2016. Our empirical analysis reveals two crucial findings. Firstly, for all estimated regressions, inflation persistence in the higher percentiles of the QAR regression exhibits unit root tendencies. Secondly, we note that the global financial crisis did alter the levels of inflation persistence at all quantiles for all BRICS countries. Collectively, we advise monetary authorities in BRICS countries to focus on keeping inflation at low and stable rates. JEL Classifications: C21; C31

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“…With reference to the case of South Africa, Khadaroo (2005) employs a two-regime threshold autoregressive (TAR) specification and finds low persistence in CPI levels at rates exceeding 14 percent inflation. Khadaroo's (2005) study offers support towards the SARB inflation target of 3-6 percent as being an over-restrictive policy strategy in controlling the inflation process. More recently, Mourelle et al (2011) captured the nonlinear dynamics of South African CPI inflation within a two-regime smooth transition AR (STAR) model.…”

Section: Introductionmentioning

confidence: 99%

“…Based on the empirical evidence presented in the aforementioned studies, there would be little reason to doubt the existence of two estimated thresholds in South African inflation. It is also noteworthy that while the studies of Khadaroo (2005) and Mourelle et al (2011) provide evidence of existing asymmetries in South African inflation, the integration properties of the data have not been previously investigated using formal asymmetric unit root tests. Presented with these circumstances, our study adopts a three-regime TAR model in preference to other alternatives on the basis of the Inflation persistence in South Africa model's ability to simultaneously capture asymmetric behaviour of inflation and investigate possible unit roots for higher-order threshold levels, i.e.…”

Section: Introductionmentioning

confidence: 99%

Threshold effects and inflation persistence in South Africa

Phiri

2012

Journal of Financial Economic Policy

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Purpose -The purpose of this paper is to evaluate threshold effects in the persistence of South African aggregate inflation data. Design/methodology/approach -The conventional approach for assessing the degree of persistence within an inflation process is via its integration properties. This study makes use of univariate threshold autoregressive (TAR) models and associated unit root testing procedures to investigate the integration properties of the inflation data. Out-of-sample forecasts are further performed for the TAR models and their linear counterparts. Findings -The empirical results confirm threshold effects in the persistence of all employed aggregated measures of inflation, whereas such asymmetric effects are ambiguous for disaggregated inflation measures. None of the observed series is found to be stationary in their levels. The out-of-sample forecasts for all TAR models outperform their linear counterparts. Practical implications -Given the scope of the study, the empirical analysis provides insight with concern to the performance of inflation subsequent to the adoption of the inflation target regime in South Africa. Of particular interest are the low persistence levels observed at inflation rates of below 4.7 and 4.4 percent for core and CPI inflation, respectively, as both these aggregated measures of inflation play an essential role in guiding monetary policy conduct within the economy. The overall findings imply that on an aggregate level, the South African Reserve Bank's (SARB's) current inflation target of 3-6 percent encompasses a non-stationary inflation range and thus proves to be restrictive on monetary policy conduct. Originality/value -The paper fills in an important gap in the academic literature by evaluating asymmetric effects in the integration properties of inflation, at both aggregated and disaggregated levels, for the exclusive case of South Africa.

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A threshold in inflation dynamics: evidence from emerging countries

Cited by 7 publications

References 6 publications

Estimation of Wind Speed Data with Setar Model

Estimation of Wind Speed Data with Setar Model

Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach

Threshold effects and inflation persistence in South Africa

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