Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test
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Tarih
2017
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
ELSEVIER SCIENCE BV
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal unit root test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal unit root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.
Açıklama
Anahtar Kelimeler
Inflation Rate, Quantile Regression, Seasonal Unit Root Test, MENA Countries
Kaynak
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
42
