Is there a mean reversion in inflation rate: New evidence from Asian economies

• Main Authors: Cyun-Jhen Peng, 彭群真
• Other Authors: Jin-Xu Lin
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/4qq2ze

碩士 === 中原大學 === 國際貿易研究所 === 103 === This paper tests for inflation stationarity of six Asian countries, that is, Indonesia, Malaysia, the Philippines, Thailand, Singapore and India by considering the possibility of structural break and nonlinearity in testing for a unit root. The results are mixed by using the conventional linear unit root tests. However, the inflation rate is shown to be a stationary process after considering the nonlinear properties of threshold, exponential smooth transition and structural break. The mean reversion in inflation is in favor of the hypothesis of, for example, the natural rate of inflation and the sticky-price model and implies that any shock has a transitory effect to inflation. The implication of stationary inflation is that any shock has a transitory effect to inflation.