Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test

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dc.authoridTiwari, Aviral KKumar -- 0000-0002-1822-9263
dc.contributor.authorBolat, Süleyman
dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorKyophilavong, Phouphet
dc.date.accessioned13.07.201910:50:10
dc.date.accessioned2019-07-16T09:17:41Z
dc.date.available13.07.201910:50:10
dc.date.available2019-07-16T09:17:41Z
dc.date.issued2017
dc.departmentİktisadi ve İdari Bilimler Fakültesi
dc.description.abstractWe 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.
dc.identifier.doi10.1016/j.ribaf.2017.07.043
dc.identifier.endpage1095en_US
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopusqualityQ1
dc.identifier.startpage1089en_US
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2017.07.043
dc.identifier.urihttps://hdl.handle.net/20.500.12451/4783
dc.identifier.volume42en_US
dc.identifier.wosWOS:000416974400082
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherELSEVIER SCIENCE BV
dc.relation.ispartofRESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectInflation Rate
dc.subjectQuantile Regression
dc.subjectSeasonal Unit Root Test
dc.subjectMENA Countries
dc.titleTesting the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test
dc.typeArticle

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