Inflation in the G7 countries: persistence and structural breaks.

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973—March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or higher tha...

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Authors: Caporale, Guglielmo Maria, Gil Alana, Luis A., Poza Lara, Carlos
Format: article
Publication Date:2022
Country:España
Institution:Universidad Francisco de Vitoria
Repository:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
Language:English
OAI Identifier:oai:ddfv.ufv.es:10641/3312
Online Access:https://hdl.handle.net/10641/3312
Access Level:Open access
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spelling Inflation in the G7 countries: persistence and structural breaks.Caporale, Guglielmo MariaGil Alana, Luis A.Poza Lara, CarlosThis paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973—March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or higher than 1 in all cases. Possible non-linearities in the form of Chebyshev polynomials in time are ruled out. Endogenous break tests are then carried out, and the degree of integration is estimated for each of the subsamples corresponding to the detected break dates. Significant differences are found between subsamples and countries in terms of the estimated degree of integration of the series, which is likely to be related to the reputation and credibility of the monetary authorities.20222022-01-0120222022-01-01journal articlehttp://purl.org/coar/resource_type/c_6501AMhttp://purl.org/coar/version/c_ab4af688f83e57aainfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10641/3312reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoriainstname:Universidad Francisco de VitoriaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-SinDerivadas 3.0 Españahttp://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccessoai:ddfv.ufv.es:10641/33122026-06-11T12:44:57Z
dc.title.none.fl_str_mv Inflation in the G7 countries: persistence and structural breaks.
title Inflation in the G7 countries: persistence and structural breaks.
spellingShingle Inflation in the G7 countries: persistence and structural breaks.
Caporale, Guglielmo Maria
title_short Inflation in the G7 countries: persistence and structural breaks.
title_full Inflation in the G7 countries: persistence and structural breaks.
title_fullStr Inflation in the G7 countries: persistence and structural breaks.
title_full_unstemmed Inflation in the G7 countries: persistence and structural breaks.
title_sort Inflation in the G7 countries: persistence and structural breaks.
dc.creator.none.fl_str_mv Caporale, Guglielmo Maria
Gil Alana, Luis A.
Poza Lara, Carlos
author Caporale, Guglielmo Maria
author_facet Caporale, Guglielmo Maria
Gil Alana, Luis A.
Poza Lara, Carlos
author_role author
author2 Gil Alana, Luis A.
Poza Lara, Carlos
author2_role author
author
dc.contributor.none.fl_str_mv
description This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973—March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or higher than 1 in all cases. Possible non-linearities in the form of Chebyshev polynomials in time are ruled out. Endogenous break tests are then carried out, and the degree of integration is estimated for each of the subsamples corresponding to the detected break dates. Significant differences are found between subsamples and countries in terms of the estimated degree of integration of the series, which is likely to be related to the reputation and credibility of the monetary authorities.
publishDate 2022
dc.date.none.fl_str_mv 2022
2022-01-01
2022
2022-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
AM
http://purl.org/coar/version/c_ab4af688f83e57aa
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10641/3312
url https://hdl.handle.net/10641/3312
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-SinDerivadas 3.0 España
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-SinDerivadas 3.0 España
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
instname:Universidad Francisco de Vitoria
instname_str Universidad Francisco de Vitoria
reponame_str DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
collection DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
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