TY - JOUR
T1 - Response of inflation to shocks
T2 - new evidence from Sub-Saharan African countries
AU - Narayan, Paresh Kumar
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2014/1
Y1 - 2014/1
N2 - In this paper, we investigate whether or not the inflation rate of 17 Sub-Saharan African countries can be modelled as a stationary process. We achieve this goal through using univariate and panel stationarity tests for data over the period 1966 to 2002. We use the Kwiatkowski, Phillips, Schmidt and Shin (KPSS, 1992) univariate test and allow for multiple structural breaks. We find that except for Burkina Faso, Burundi and Gambia, the inflation rate is stationary for the rest of the 14 countries. We then apply the panel version of the KPSS test, developed by Carrion-i-Silvestre et al. (2005), which accounts for multiple structural breaks. We find strong evidence of panel stationarity of the inflation rate. However, for a panel consisting of Burkina Faso, Burundi and Gambia, we could not find evidence that the inflation rate is stationary.
AB - In this paper, we investigate whether or not the inflation rate of 17 Sub-Saharan African countries can be modelled as a stationary process. We achieve this goal through using univariate and panel stationarity tests for data over the period 1966 to 2002. We use the Kwiatkowski, Phillips, Schmidt and Shin (KPSS, 1992) univariate test and allow for multiple structural breaks. We find that except for Burkina Faso, Burundi and Gambia, the inflation rate is stationary for the rest of the 14 countries. We then apply the panel version of the KPSS test, developed by Carrion-i-Silvestre et al. (2005), which accounts for multiple structural breaks. We find strong evidence of panel stationarity of the inflation rate. However, for a panel consisting of Burkina Faso, Burundi and Gambia, we could not find evidence that the inflation rate is stationary.
KW - Inflation rate
KW - Multiple structural breaks
KW - Panel stationarity
KW - Sub-Saharan African countries
UR - http://www.scopus.com/inward/record.url?scp=84886421227&partnerID=8YFLogxK
U2 - 10.1016/j.econmod.2013.10.016
DO - 10.1016/j.econmod.2013.10.016
M3 - Article
AN - SCOPUS:84886421227
SN - 0264-9993
VL - 36
SP - 378
EP - 382
JO - Economic Modelling
JF - Economic Modelling
ER -