ARE INFLATION RATES STATIONARY IN THE WESTERN BALKAN COUNTRIES? EVIDENCE FROM UNIT ROOT TESTS*

被引：0

作者：

Obradovic, Saga ^{[1
]}

Lojanica, Nemanja ^{[1
]}

机构：

[1] Univ Kragujevac, Fac Econ, Kragujevac, Serbia

来源：

POLITICKA EKONOMIE | 2022年 / 70卷 / 04期

关键词：

Inflation; unit root; nonlinearity; structural break; nonstationarity; OIL-PRICE SHOCK; GREAT CRASH; STRUCTURAL BREAKS; MEAN REVERSION; TIME-SERIES; NONLINEARITY; NONSTATIONARITY; AUTOREGRESSION; ADJUSTMENT; THRESHOLD;

D O I：

10.18267/j.polek.1362

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Monitoring of inflation rate dynamics is one of the most important tasks in order to identify the current economic conditions of the observed countries. The aim of this study is to examine the unit root properties of inflation in the Western Balkan countries. It also investigates the existence of structural breaks and nonlinearity. The time horizon encompasses the period 2006Q1-2020Q2. The results suggest that the inflation in Albania and Montenegro manifests a nonstationary process and structural breaks. The macroeconomic shocks will have more persistent effects on the inflation rate if it is characterized by nonstationarity. The inflation rates of Serbia and Bosnia and Herzegovina are characterized by nonlinear mean reverting behaviour. This implies less costly implementation of the proclaimed monetary strategy.

引用

页码：421 / 439

页数：19

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