Response of inflation to shocks: new evidence from Sub-Saharan African countries

Narayan,PK 2014, Response of inflation to shocks: new evidence from Sub-Saharan African countries, Economic modelling, vol. 36, pp. 378-382, doi: 10.1016/j.econmod.2013.10.016.

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Title Response of inflation to shocks: new evidence from Sub-Saharan African countries
Author(s) Narayan,PK
Journal name Economic modelling
Volume number 36
Start page 378
End page 382
Publisher Elsevier BV
Place of publication Amsterdam, Netherlands
Publication date 2014-01
ISSN 0264-9993
Keyword(s) Inflation rate
Multiple structural breaks
Panel stationarity
Sub-Saharan African countries
Social Sciences
Business & Economics
Summary 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. © 2013 Elsevier B.V.
Language eng
DOI 10.1016/j.econmod.2013.10.016
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910303 Trade Policy
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier BV
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Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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