Inflation Dynamics in Uganda: a Quantile Regression Approach
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Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
Macroeconomics and Finance in Emerging Market Economies
Abstract
This paper considers the measurement of inflation persistence in Uganda and how this has changed over time within different quantiles. The measures of inflation include headline inflation and two measures of core inflation. The results suggest that while a unit root is found in many of the upper quantiles of headline inflation, there is evidence of mean reversion within the lower quantiles, which implies that large positive deviations influence the permanent behaviour of inflation. In addition, we find higher levels of persistence after 2006 and during the inflation-targeting period, where potential structural changes may have arisen within the regression quantiles.
Description
Keywords
Inflation persistence; quantile regression; structural break; monetary policy
Citation
Anguyo, F. L., Gupta, R., & Kotzé, K. (2020). Inflation dynamics in Uganda: a quantile regression approach. Macroeconomics and Finance in Emerging Market Economies, 13(2), 161-187.https://doi.org/10.1080/17520843.2019.1596963