Asymmetric inflation dynamics: Evidence from quantile regression analysis

Tsong, Ching-Chuan; Lee, Cheng-Feng

doi:10.1016/j.jmacro.2011.08.003

Cited by 66 publications

(38 citation statements)

References 47 publications

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“…For α1(τ ), the unit root null is examined with the tn (τ ) statistic. The number in parentheses is p value follow the procedure adopted by Tsong and Lee (2011) and reconstruct a new time series of the real exchange rate by taking into account both sharp shifts and smooth breaks as: where y t is real exchange rate adjusted by the effects of possible structural breaks (for both sharp shifts and smooth breaks). 6 We then apply quantile unit root test proposed by Koenker and Xiao (2004) to test for unit root in our adjusted new series y t .…”

Section: Resultsmentioning

confidence: 99%

Revisiting purchasing power parity in Eastern European countries: quantile unit root tests

et al. 2016

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Section: Resultsmentioning

confidence: 99%

Revisiting purchasing power parity in Eastern European countries: quantile unit root tests

et al. 2016

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“…Due to the existence of these structural breaks, we should incorporate these breaks into our testing model; otherwise, the results will be biased. Since Kónya (2006) cannot allow different break dates into the testing model, we follow the procedure adopted by Tsong and Lee (2011) and Bahmani-Oskooee et al (2014) to adjust the data as follows:…”

Section: Empirical Framework Data and Methodologymentioning

confidence: 99%

Saving and investment causality: implications for financial integration in transition countries of Eastern Europe

Irandoust

2017

Int Econ Econ Policy

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Numerous studies have been devoted to the Feldstein-Horioka puzzle. However, no consensus has been reached in the literature. This paper examines the causal relationship between domestic saving and investment rates in six transition economies (Estonia, Latvia, Lithuania, Ukraine, Belarus, and Russian Federation). Theoretically, the presence of any type of causal structure between these two series in a country implies that national capital markets are not open; hence capital flows are impeded. Therefore, the paper employs the bootstrap panel Granger causality approach that accounts for both cross-sectional dependence and slope heterogeneity across countries to determine the causal structure. The findings show that there is a causality between the series, thereby implying that capital is not perfectly mobile internationally in any of the countries under review, but it is more mobile in Estonia, Russian Federation, and Latvia than Lithuania, Belarus, and Ukraine. The underdevelopment of financial markets in these countries as well as the demand for foreign capital to finance domestic investment projects and the lack of adequate economic and financial reforms might have driven these results.

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“…Our study is closely related to the recent work of Tsong and Lee (2011). These authors also model inflation in a quantile framework but do not assess time-variation in persistence at individual quantiles.…”

Section: A Brief Review Of the Literature On Inflation Persistencementioning

confidence: 85%

The changing dynamics of US inflation persistence: a quantile regression approach

Wolters¹,

Tillmann

2015

Studies in Nonlinear Dynamics &Amp; Econometrics

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We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a potentially severe constraint. Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the mean of the distribution unchanged. Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. While prior to the 1980s inflation was not mean reverting, quantile autoregression based unit root tests suggest that since the end of the Volcker disinflation the unit root can be rejected at every quantile of the conditional inflation distribution.

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Asymmetric inflation dynamics: Evidence from quantile regression analysis

Cited by 66 publications

References 47 publications

Revisiting purchasing power parity in Eastern European countries: quantile unit root tests

Revisiting purchasing power parity in Eastern European countries: quantile unit root tests

Saving and investment causality: implications for financial integration in transition countries of Eastern Europe

The changing dynamics of US inflation persistence: a quantile regression approach

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