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
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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
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.