English, Article, Journal or magazine article edition: Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience. Manuel Ramos Francia; Daniel Chiquiar; Antonio E. Noriega

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience.
Author
  • Manuel Ramos Francia
  • Daniel Chiquiar
  • Antonio E. Noriega
Physical Description
  • preprint
Notes
  • When monetary policy has an explicit inflation target, observed inflation should be a stationary process. In countries where, for a variety of reasons, the determinants of inflation could lead it to follow a non-stationary process, the adoption of an inflation targeting framework should therefore induce a fundamental change in the stochastic process governing inflation. This paper studies the time series properties of Mexican inflation during 1995-2006, using recently developed techniques to detect a change in the persistence of economic time series. Consistent with the adoption of an inflation-targeting framework, the results suggest that inflation in Mexico seems to have switched from a nonstationary to a stationary process around the end of year 2000 or the beginning of 2001.
  • Inflation, Persistence change, Stationarity, Unit root tests, Unknown direction of change
  • RePEc:bdm:wpaper:2007-01
Language
  • English
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