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

Version 2 2024-06-17, 10:41
Version 1 2014-12-19, 11:41
journal contribution
posted on 2024-06-17, 10:41 authored by PK Narayan
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.

History

Journal

Economic modelling

Volume

36

Pagination

378-382

Location

Amsterdam, Netherlands

ISSN

0264-9993

eISSN

1873-6122

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2014, Elsevier BV

Publisher

Elsevier BV