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

Business and Economic Horizons Pub Date : 2018-01-01 DOI:10.15208/BEH.2018.08

A. Phiri

引用次数: 1

Abstract

Using the recently-introduced quantile autoregression methodology (QAR), this study contributes to the ever-expanding 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.

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金砖国家通货膨胀持续:分位数自回归(QAR)方法

本研究使用最近引入的分位数自回归方法(QAR)，通过使用1996年至2016年收集的季度时间序列数据调查金砖国家通货膨胀的持久性，为不断扩大的实证文献做出了贡献。我们的实证分析揭示了两个关键发现。首先，对于所有估计的回归，QAR回归中较高百分位数的通货膨胀持续性表现出单位根趋势。其次，我们注意到，全球金融危机确实改变了所有金砖国家所有分位数的通胀持续水平。我们建议金砖国家货币当局将重点放在保持低通胀和稳定水平上。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Business and Economic Horizons ECONOMICS-

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期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.