Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/67987
標題: Trend stationary of inflation rates: evidence from LM unit root testing with a long span of historical data
作者: Lee, C.C.
Chang, C.P.
關鍵字: purchasing-power parity
2 structural breaks
real interest-rate
time-series
oecd countries
health expenditures
fisher hypothesis
great crash
good size
models
期刊/報告no:: Applied Economics, Volume 40, Issue 19, Page(s) 2523-2536.
摘要: The article applies the LM univariate unit root test recently developed by Lee and Strazicich (2003, 2004) to re-examine the validity of trend stationary in the inflation rates of 11 OECD and Asian countries using a longer span of historical data. Our empirical findings are favourable to the trend stationary of the inflation rates when we control the structural breaks in series, and therefore they point to the absence of hyperinflation in the majority of the countries. The results indicate that shocks to inflation rates are temporary and soon converge, with the inflation rates being trend stationary. Hence, most structural breaks in the inflation rate occur around the Great Depression, World War I, World War II, and energy shock periods. For the convergence effect, we repeat the unit root tests utilized above for smaller sub-samples so as to provide a robust analysis. The outcomes show that by selecting a longer data span, we can catch more powerful convergent evidence. Overall, some policy implications are obtained in this article.
URI: http://hdl.handle.net/11455/67987
ISSN: 0003-6846
文章連結: http://dx.doi.org/10.1080/00036840600970138
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