Persistence in International Inflation Rates

Baum, Christopher F.; Barkoulas, John; Çağlayan, Mustafa

doi:10.2307/1061283

Cited by 89 publications

(48 citation statements)

References 30 publications

(5 reference statements)

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“…Similar evidence of strong long memory in the in ‡ation rate of the United States, United Kingdom, Germany, France, and Italy is also provided by Hassler and Wolters (1995). Baum, Barkoulas, and Caglayan (1999) found signi…cant evidence of long memory in the in ‡ation rates for the industrial as well as the developing countries. Baillie et al (2002) explore the long memory property in the …rst and second conditional moments of in ‡ation rates simultaneously.…”

Section: Introductionsupporting

confidence: 69%

Seasonal and Periodic Long Memory Models in the Inflation Rates

Nasr¹,

Trabelsi²

2006

SSRN Journal

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This paper considers the application of long memory processes to describe in ‡ation with seasonal behaviour. We use three di¤erent long memory models taking into account the seasonal pattern in the data. Namely, the ARFIMA model with deterministic seasonality, the ARFISMA model, and the periodic ARFIMA (PARFIMA) model. These models are used to describe the in ‡ation rates of four di¤erent countries, USA, Canada, Tunisia, and South Africa. The analysis is carried out using the Sowell's (1992) maximum likelihood techniques for estimating ARFIMA model and using the approximate maximum likelihood method for the estimation of the PARFIMA process. We implement a new procedure to obtain the maximum likelihood estimates of the ARFISMA model, in which dummies variables on additive outliers are included. The advantage of this parametric estimation method is that all parameters are estimated simultaneously in the time domain. For all countries, we …nd that estimates of di¤erencing parameters are signi…cantly di¤erent from zero. This is evidence in favour of long memory and suggests that persistence is a common feature for in ‡ation series. Note that neglecting the existence of additive outliers may possibly biased estimates of the seasonal and periodic long memory models.

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Section: Introductionsupporting

confidence: 69%

Seasonal and Periodic Long Memory Models in the Inflation Rates

Nasr¹,

Trabelsi²

2006

SSRN Journal

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“…Malliaropoulos (2000) [14] and Baum et al (1999) [19] showed that USA nominal interest and inflation rates can be better represented using broken trend stationary models. This finding is very important in the sense that, at least for the USA data, it casts doubts on the adequacy of the co-integration approach to test for the Fisher effect.…”

Section: Fisher Effect With Non-integrated Variablesmentioning

confidence: 99%

“…Similarly, some other authors suggest the possibility that these variables may follow a long-memory process. We can cite the papers of Baum et al (1999) [19], Phillips and Perron (1998) [20], Tsay (2000) [21], Sun and Phillips (2004) [22], Gil-Alaña (2004) [23] and Gil-Alaña and Moreno (2012) [24], in the case of the nominal interest rate, and Hassler and Wolters (1995) [25] and Bos et al (1999) [26] with respect to the inflation rate. In light of this, the use of the unit root/co-integration approach is now open to debate.…”

Section: Introductionmentioning

confidence: 99%

Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries

et al. 2017

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This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I (0) variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. After considering these breaks, we find very limited evidence of a total Fisher effect as the transmission coefficient of the expected inflation rates to nominal interest rates is very different than one.

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“…On the other hand, Baum, Barkoulas and Caglayan (1999) estimated fractional ARIMA (ARFIMA) models for real exchange rates in the post-Bretton Woods era and found almost no evidence to support long run PPP. Additional studies on exchange rate dynamics using fractional integration are those by Crato and Ray (2000), Wang (2004), Dufrenot et al (2006Dufrenot et al ( , 2008 and Aloy et al (2011) among others.…”

Section: Introductionmentioning

confidence: 99%