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http://bura.brunel.ac.uk/handle/2438/19883
Title: | Fractional integration and the persistence of UK inflation, 1210-2016 |
Authors: | Caporale, GM Gil-Alana, L |
Keywords: | UK inflation;persistence;fractional integration |
Issue Date: | 30-Jan-2020 |
Publisher: | John Wiley & Sons Australia, Ltd on behalf of The Economic Society of Australia |
Citation: | Caporale, G.M. and Gil-Alana, L.A. (2020) 'Fractional Integration and the Persistence of UK Inflation, 1210–2016', Economic Papers, 39 (2), pp.162 - 166. https://doi.org/10.1111/1759-3441.12275 |
Abstract: | © 2020 The Authors. This note examines the degree of persistence of UK inflation by applying fractional integration methods to historical data spanning the period 1210–2016; the chosen approach is more general than the popular ARMA models based on the classical I(0) vs. I(1) dichotomy. The full-sample results do not suggest that UK inflation is a persistent process; however, the recursive analysis indicates an increase in the degree of persistence in the 16th century and more recently after WWI and in the last quarter of the 20th century. On the whole, monetary and exchange rate regime changes do not appear to have had a significant impact on the stochastic behaviour of inflation if one takes a long-run, historical perspective. |
URI: | https://bura.brunel.ac.uk/handle/2438/19883 |
ISSN: | 0004-900X |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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