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

Phiri, Andrew (2017): Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model.

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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, persistence in moderate to high inflation rates in the QAR regression exhibits unit root tendencies. Secondly, we note that inflation persistence varies across different time horizons corresponding to periods priori and subsequent to the global financial crisis. These findings have important implications for Central Banks in BRICs countries.

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