Inflation Persistence and Core Inflation: The Case of South Africa

Rangasamy, Logan

doi:10.1111/j.1813-6982.2009.01222.x

Cited by 27 publications

(30 citation statements)

References 42 publications

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“…In the latter, although an inflation target was set from 2000 onwards, the inflation rate appears to be non‐stationary for the whole period. This latter result is compatible with Rangasamy's (2009) result on South Africa's measurement of inflation persistence, since this author found a high degree of persistence.…”

Section: Resultssupporting

confidence: 91%

Is There an Asymmetric Behaviour in African Inflation? A Non‐linear Approach

Mourelle¹,

Cuestas²,

Gil-Alana³

2011

South African J Economics

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In this paper we test the inflation persistence hypothesis as well as model the long‐run behaviour of inflation rates in a pool of African countries using a non‐linear framework. In order to do so, we rely on unit root tests applied to non‐linear models and fractional integration. The results show that the hypothesis of inflation persistence does not hold empirically for most of the countries. In addition, the estimated models (logistic smooth transition autoregressions) are stable in the sense that the variable tends to remain in the regime (low inflation or high inflation) once reached, and changes between regimes are only achieved after a shock. The results also indicate that the effects of the shocks on inflation tend to die out; exogenous factors, i.e. supply shocks and inertia may be causing this outcome, as they play a substantial role in the determination of the inflation rates for our selected African countries.

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Section: Resultssupporting

confidence: 91%

Is There an Asymmetric Behaviour in African Inflation? A Non‐linear Approach

Mourelle¹,

Cuestas²,

Gil-Alana³

2011

South African J Economics

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“…An example of this type of core measure is the trimmed mean measure calculated in Blignaut et al . (), and the persistence and CPI weighted measure in Rangasamy (). Third, a core inflation measure should help predict future headline inflation.…”

Section: Introductionmentioning

confidence: 99%

Towards a Measure of Core Inflation using Singular Spectrum Analysis

Ruch

Bester²

2013

South African J Economics

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This paper constructs a number of possible core measures of inflation using singular spectrum analysis (SSA). Annual changes in monthly inflation are decomposed into its trend, oscillatory and noise components in order to develop an understanding of the trend and cyclicality in South African headline inflation. Three cyclical components with differing amplitude and frequency are identified. The trend and cyclical components of inflation are found to be a good approximation of core inflation, the inertial part of inflation. These core measures are compared with other candidate core measures based on the properties of a good core inflation measure. Generally, the SSA measures outperform commonly used measures of core inflation based on both in-and out-of-sample performance. JEL classification: C41, C14, E31, E37, N17

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“…Studies such as Gilbert (2010), Cooke (2009), Leoning, Durevall, & Birru (2009), Walsh (2011), Sumlinski, Al-Eyd, Amaglobeli, & Shukurov (2012 focused food price dynamics in African countries. Rangasamy (2009) found that food inflation is highly persistent in South Africa.…”

Section: Literature Reviewmentioning

confidence: 99%

Is Food Price Inflation Transitory? Empirical Evidence from Sri Lanka

Sivarajasingham¹,

Applanaidu²

2015

ASS

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Food prices are excluded from core measures of inflation in many countries assuming food prices are transitory. Exclusion of food prices may lead to information loss, leading to higher inflationary expectations, a downward bias to forecasts of future inflation and lags in policy responses. Assumption that log food price series behave by way of I(1) and differenced log food price series linger in the manner of I(0) process leads to model misspecification. Correct identification of the memory in the food price series is vital for the correct model specification and is important for policy makers. This study aims to examine whether food price inflation is transitory in Sri Lanka by estimating the memory properties of food price series using non-parametric, semi-parametric and parametric tests. The study covers the period from January, 2003 to December, 2013. Results show that food price inflation, nonfood price inflation and headline inflation, and global food price inflation series are fractionally integrated. Food price series in Sri Lanka commoves with global food prices. Research findings show that food price inflation is not transitory, long memory series. The outcomes of this attempt have consequential implications towards food policy, trade policy and monetary policy makers. These findings suggest that neglecting food prices may render the core inflation measure a biased measure of long run inflation.

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Inflation Persistence and Core Inflation: The Case of South Africa

Cited by 27 publications

References 42 publications

Is There an Asymmetric Behaviour in African Inflation? A Non‐linear Approach

Is There an Asymmetric Behaviour in African Inflation? A Non‐linear Approach

Towards a Measure of Core Inflation using Singular Spectrum Analysis

Is Food Price Inflation Transitory? Empirical Evidence from Sri Lanka

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