Testing for breaks in inertia: an alternative approach

Gottschalk, Ricardo

doi:10.1080/1350485022000044048

Cited by 7 publications

(8 citation statements)

References 5 publications

(5 reference statements)

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“…As it is known that unit root tests depend on time series models where variables are modeled with their own lag, it can be said that the agreed approach in this study is reduced-form approach according to the classification of Pratap, Singh and Kurien (2021). There are many studies in the literature that analyzes the inflation persistence with unit root tests (e.g., Novaes 1993;Gottschalk 2003;Özcan et al 2004;Roache 2014;Oliveira and Petrassi 2014). Among these studies, especially Gottschalk (2003) and Oliveira and Petrassi (2014) draw attention on non-linear dynamics and utilized non-linear unit root tests.…”

Section: Introductionmentioning

confidence: 99%

“…There are many studies in the literature that analyzes the inflation persistence with unit root tests (e.g., Novaes 1993;Gottschalk 2003;Özcan et al 2004;Roache 2014;Oliveira and Petrassi 2014). Among these studies, especially Gottschalk (2003) and Oliveira and Petrassi (2014) draw attention on non-linear dynamics and utilized non-linear unit root tests. In both studies, unit root tests developed in the framework of non-linear dynamics called structural break were used.…”

Section: Introductionmentioning

confidence: 99%

“…In both studies, unit root tests developed in the framework of non-linear dynamics called structural break were used. Gottschalk (2003) chose the dates of inflation balancing policy attempts that were made six times in Brazil between the years 1986-1994 as structural break dates. In this example, break dates were determined exogenously as Perron (1989) has suggested.…”

Section: Introductionmentioning

confidence: 99%

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Asymmetric Dynamics of Inflation Inertia in Non-Eurozone European Countries

Özcan

2022

Preprint

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In the last twenty years, the European economy, which has faced two serious crises, nowadays tries to cope with the negative effects of the pandemic that has affected the whole world. Among all these negative effects, the one experienced by the society most is, without a doubt, high and permanent inflation. In this study, inflation inertia was analyzed with linear and non-linear unit root tests for the seven economies which are in non-Eurozone but are members of the European Union. The non-linear unit root tests used take both structural change and regime switching into account. Thanks to these tests, all none-linear dynamics that can be observed in the inflation series were included in the inflation inertia analysis. Moreover, the respective tests were aimed to obtain empirical data more sensitive to the shocks applied in time by Rolling Windows Sample approach. According to the obtained results, while inflation inertia was detected in Bulgaria, Croatia and Czechia, it was found out that Romania and Sweden economies are the ones with the least inflation inertia.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Asymmetric Dynamics of Inflation Inertia in Non-Eurozone European Countries

Özcan

2022

Preprint

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“…There is no a significant literature on the properties of inflation deviations in Brazil, but rather on inflation rates in absolute terms. Some examples of the latter are Cysne (1985), Barbosa and McNelis (1989), de Holanda Novaes (1993), Durevall (1998), Gottschalk (2003), Reisen, Cribari-Neto, and Jensen (2003), Cerisola and Gelos (2009), Veloso et al (2013) and Ponzoni and Zilli (2015). From an economic perspective, the focus of these empirical efforts is to evaluate if inflation rates in Brazil converge to a stable level or not.…”

Section: Introductionmentioning

confidence: 99%

Inflation targeting and inflation deviation inertia: a study for Brazil based on the fractional integration approach

Moreira

Monte

Abdala

2018

Journal of Applied Economics

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We applied the fractional integration approach to measure inflation deviation inertia in an emerging economy under an inflation targeting regime, as well as to control for potential determinants of such a deviation. We did not base our analysis on typical unit root tests, as we identified a long-memory behavior in inflation deviation. Such a non-conventional procedure can be regarded as a contribution to the inflation targeting literature. From ARFIMA and ARFIMAX estimates, we identified that inflation deviation was mainly determined by a strong inertia degree (AR(1)), commodity prices, nominal exchange rate and economic activity over the entire sample. Moreover, we found an increase of the inflation deviation inertia over the last years of our time sample, thereby indicating a deterioration of the inflation targeting regime in such a specific period.

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“…Only a few published studies consider inflation persistence in developing countries, including China (e.g. Gottschalk, 2003;Lu and Zhang, 2003;Balcilar, 2004;Önder, 2009;Zhang andClovis, 2009 andChiquiar et al, 2010;Zhang, 2011), with most of the existing literature focusing on industrialized countries such as the USA, the UK and Canada (e.g. Nelson and Plosser, 1982;Fuhrer and Moore, 1995;Cogley and Sargent, 2001;Benati and Kapetanios, 2003;Levin and Piger, 2004;Sheedy, 2010).…”

Section: Introductionmentioning

confidence: 99%

Multiple Structural Breaks and Inflation Persistence: Evidence fromChina

Wei

2015

Asian Economic Journal

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The degree of inflation persistence fluctuates more in developing countries than in industrialized countries. This is because there are more economic reforms in developing countries than in industrialized countries. Hence, it is important to study the inflation persistence in developing countries. The present paper investigates the pattern of inflation persistence in China, a developing and transitional economy. Specifically, the paper studies statistically the number of structural breaks in China's inflation persistence based on the monthly retail price index (MRPI) and the quarterly retail price index (QRPI) inflation series from 1983 to 2011. The findings show that there are five and three structural breaks in the MRPI and QRPI inflation persistence, respectively. The present paper also exposes a high degree of persistence over the whole sample period and a slight decline in the level of the persistence since 1994. Furthermore, the persistence of two inflation series does not change monotonously but with obvious cyclical patterns. Using these derived estimated structural breakpoints, likely causes of the breakpoints in inflation persistence are investigated. Finally, theoretical and practical implications are discussed.

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Testing for breaks in inertia: an alternative approach

Abstract: This paper tests for breaks in inflation inertia. It proposes an alternative method that can be relied upon when inflation follows a stationary process that fluctuates around a segmented deterministic trend. This method is then applied to the Brazilian case.

Cited by 7 publications

References 5 publications

Asymmetric Dynamics of Inflation Inertia in Non-Eurozone European Countries

Asymmetric Dynamics of Inflation Inertia in Non-Eurozone European Countries

Inflation targeting and inflation deviation inertia: a study for Brazil based on the fractional integration approach

Multiple Structural Breaks and Inflation Persistence: Evidence fromChina

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