Are Inflation Rates Really Nonstationary? New Evidence from Non-linear STAR Framework and African Data

摘要

This study provides evidence on whether the inflation rate is nonstationary or stationary using quarterly inflation rate data from thirty-four African countries. As Johansen [Journal of Policy Modeling 14 (1992) 313-334] wrote, "Some time series such as the log of prices (P), have the property that even the inflation rate ?P is nonstationary, whereas the second difference ?2P is stationarity." Results from linear and nonlinear analyses provide overwhelming evidence in support of the nonstationarityof the inflation rate in Africa. The nonlinear KSS test validates thenonstationarity of inflation in more countries than the linear tests. Results from three forecasting tests indicate constancy of our models and the associated evidence of nonstationarity.