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A threshold in inflation dynamics: evidence from emerging countries

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Abstract:

Using monthly data over the period January 1976–November 2002, the present paper detects significant threshold non-linearities in the inflation rates of three emerging countries, namely India, Singapore and South Africa. A two-regime self-exciting threshold autoregressive (SETAR) model of inflation, constituting a significant improvement over the corresponding linear AR model, is estimated for these countries. Singapore is shown to have a much lower implied equilibrium inflation rate than India, while there is a possibility of seasonal inflation equilibria for South Africa.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/0003684042000295296

Affiliations: Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius, Email: j.khadaroo@uom.ac.mu

Publication date: April 10, 2005

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