FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2275909262> ?p ?o ?g. }

• W2275909262 endingPage "57" @default.
• W2275909262 startingPage "47" @default.
• W2275909262 abstract "The successful conduct of monetary policy relies on accurately characterising inflation’s data generating properties. Monetary policy errors that allow inflation to transition to a high inflation regime that is very persistent might have costly economic implications as the central bank attempts to bring inflation to a lower regime, say at some target level. This paper studies the duration of inflation persistence over time and across various policy regimes. We test the inertial properties of South African inflation in a Markov-Switching autoregressive fractionally integrated moving average model. We isolate period of high inflation and low inflation and analyse how persistent it is. This is an unique application to South Africa. The use of a fractional differencing ARIMA model allows for the possibility that inflation is close to a unit root, however, still mean reverting. This implies that shocks to inflation is very persistent and take long to dissipate. The inflation persistence is measured using a test by Ng and Perron (2001). We show that inflation is more persistent during high inflation episodes relative to low inflation episodes and more volatile during low inflation periods compared to high inflation periods. We estimate that it takes approximately 70 months for 50 percent of the shocks to dissipate in a high inflation regime compared to 10 months in a low inflation regime. The model identifies three structural breaks - a low inflation regime from 1920 until 1960, a high inflation regime from 1961 until 2003, and another low inflation regime over part of the inflation targeting period, 2003-2014. We also show that inflation persistence in the high inflation regime transitioned to a low inflation regime only much later than the implementation of inflation targeting - hinting that agents take time to adjust expectations. This has an important consequence for monetary policy - monetary policy errors that allow inflation to transition to a high inflation regime may take many months for any corrective policy to become effective." @default.
• W2275909262 created "2016-06-24" @default.
• W2275909262 creator A5014189498 @default.
• W2275909262 creator A5015669404 @default.
• W2275909262 creator A5041697195 @default.
• W2275909262 date "2016-01-01" @default.
• W2275909262 modified "2023-09-25" @default.
• W2275909262 title "Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter" @default.
• W2275909262 cites W1953516854 @default.
• W2275909262 cites W1979644446 @default.
• W2275909262 cites W1982647785 @default.
• W2275909262 cites W1983449331 @default.
• W2275909262 cites W1991465195 @default.
• W2275909262 cites W2005230999 @default.
• W2275909262 cites W2023718188 @default.
• W2275909262 cites W2026429945 @default.
• W2275909262 cites W2052524109 @default.
• W2275909262 cites W2085138512 @default.
• W2275909262 cites W2085778615 @default.
• W2275909262 cites W2093589088 @default.
• W2275909262 cites W2119811230 @default.
• W2275909262 cites W2137686958 @default.
• W2275909262 cites W2142976146 @default.
• W2275909262 cites W2151490310 @default.
• W2275909262 cites W2153003331 @default.
• W2275909262 cites W2164969987 @default.
• W2275909262 cites W2165372008 @default.
• W2275909262 cites W2167202426 @default.
• W2275909262 cites W2171105426 @default.
• W2275909262 cites W2604943728 @default.
• W2275909262 cites W3121741073 @default.
• W2275909262 cites W3122589741 @default.
• W2275909262 cites W3123874348 @default.
• W2275909262 cites W3124362478 @default.
• W2275909262 cites W3124738382 @default.
• W2275909262 doi "https://doi.org/10.1353/jda.2016.0004" @default.
• W2275909262 hasPublicationYear "2016" @default.
• W2275909262 type Work @default.
• W2275909262 sameAs 2275909262 @default.
• W2275909262 citedByCount "10" @default.
• W2275909262 countsByYear W22759092622016 @default.
• W2275909262 countsByYear W22759092622017 @default.
• W2275909262 countsByYear W22759092622018 @default.
• W2275909262 countsByYear W22759092622019 @default.
• W2275909262 countsByYear W22759092622020 @default.
• W2275909262 countsByYear W22759092622023 @default.
• W2275909262 crossrefType "journal-article" @default.
• W2275909262 hasAuthorship W2275909262A5014189498 @default.
• W2275909262 hasAuthorship W2275909262A5015669404 @default.
• W2275909262 hasAuthorship W2275909262A5041697195 @default.
• W2275909262 hasBestOaLocation W22759092622 @default.
• W2275909262 hasConcept C105795698 @default.
• W2275909262 hasConcept C121332964 @default.
• W2275909262 hasConcept C126285488 @default.
• W2275909262 hasConcept C1297061 @default.
• W2275909262 hasConcept C149782125 @default.
• W2275909262 hasConcept C154815372 @default.
• W2275909262 hasConcept C162324750 @default.
• W2275909262 hasConcept C165556158 @default.
• W2275909262 hasConcept C185824701 @default.
• W2275909262 hasConcept C200941418 @default.
• W2275909262 hasConcept C2780569737 @default.
• W2275909262 hasConcept C2986394398 @default.
• W2275909262 hasConcept C33332235 @default.
• W2275909262 hasConcept C33923547 @default.
• W2275909262 hasConcept C556758197 @default.
• W2275909262 hasConcept C91602232 @default.
• W2275909262 hasConcept C98763669 @default.
• W2275909262 hasConceptScore W2275909262C105795698 @default.
• W2275909262 hasConceptScore W2275909262C121332964 @default.
• W2275909262 hasConceptScore W2275909262C126285488 @default.
• W2275909262 hasConceptScore W2275909262C1297061 @default.
• W2275909262 hasConceptScore W2275909262C149782125 @default.
• W2275909262 hasConceptScore W2275909262C154815372 @default.
• W2275909262 hasConceptScore W2275909262C162324750 @default.
• W2275909262 hasConceptScore W2275909262C165556158 @default.
• W2275909262 hasConceptScore W2275909262C185824701 @default.
• W2275909262 hasConceptScore W2275909262C200941418 @default.
• W2275909262 hasConceptScore W2275909262C2780569737 @default.
• W2275909262 hasConceptScore W2275909262C2986394398 @default.
• W2275909262 hasConceptScore W2275909262C33332235 @default.
• W2275909262 hasConceptScore W2275909262C33923547 @default.
• W2275909262 hasConceptScore W2275909262C556758197 @default.
• W2275909262 hasConceptScore W2275909262C91602232 @default.
• W2275909262 hasConceptScore W2275909262C98763669 @default.
• W2275909262 hasIssue "1" @default.
• W2275909262 hasLocation W22759092621 @default.
• W2275909262 hasLocation W22759092622 @default.
• W2275909262 hasOpenAccess W2275909262 @default.
• W2275909262 hasPrimaryLocation W22759092621 @default.
• W2275909262 hasRelatedWork W2054903561 @default.
• W2275909262 hasRelatedWork W2083973237 @default.
• W2275909262 hasRelatedWork W2269270212 @default.
• W2275909262 hasRelatedWork W2944769454 @default.
• W2275909262 hasRelatedWork W2958336665 @default.
• W2275909262 hasRelatedWork W3121229087 @default.
• W2275909262 hasRelatedWork W3121282955 @default.
• W2275909262 hasRelatedWork W3122347161 @default.

• next