Fractional Integration and the Persistence of UK Inflation, 1210–2016*

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.)

Authors:

Caporale, G.M. (Guglielmo M.)

Gil-Alana, L.A. (Luis A.)

Keywords:

UK inflation
Persistence
Fractional integration

Issue Date:

2020

Project:

info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/ECO2017-85503-R/ES/INTEGRACION FRACCIONAL, PROCESOS DE MEMORIA LARGA Y NO LINEALIDADES EN SERIES DE TIEMPO. EVIDENCIA EN LOS PAISES EN VIAS DE DESARROLLO

ISSN:

0812-0439

Note:

CC-BY. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

Citation:

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.). "Fractional Integration and the Persistence of UK Inflation, 1210–2016*". Economic Papers. 39 (2), 2020, 162 - 166

Abstract

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 longrun, historical perspective.

URI:

https://hdl.handle.net/10171/66297

DOI:

10.1111/1759-3441.12275

Appears in Collections:

DA - Economía - Artículo de revista

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