Inflation targeting and the stationarity of inflation: new results from an Estar Unit Root Test

Gregoriou, Andros and Kontonikas, Alexandros 2006. Inflation targeting and the stationarity of inflation: new results from an Estar Unit Root Test. Bulletin of Economic Research 58 (4) , pp. 309-332. 10.1111/j.0307-3378.2006.00246.x

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Abstract

In this paper, we examine the time series properties of inflation in seven countries that have adopted inflation targeting. Unlike previous studies, we utilize a non-linear mean reverting adjustment mechanism for inflation and we discover that, although deviations of inflation from the target can exhibit a region of non-stationary behaviour, overall they are stationary indicating successful targeting implementation.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics
Uncontrolled Keywords:	ESTAR models ; Inflation ; Unit root tests
Publisher:	Wiley-Blackwell
ISSN:	0307-3378
Last Modified:	19 Mar 2016 22:30
URI:	https://orca.cardiff.ac.uk/id/eprint/18937

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