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How persistent is inflation in Kazakhstan? A fractionally integrated approach

Author

Listed:
  • Alisher Tolepbergen

    (NAC Analytica, Nazarbayev University)

Abstract
The paper analyzes persistence properties of monthly inflation and its components in Kazakhstan using fractionally integrated approach for the period between February 2001 and June 2020. The results suggest the presence of long memory behavior in inflation series. General inflation, food inflation, and non-food inflation experience a break in late 2015 when the National Bank of Kazakhstan announced a shift in the monetary policy regime. The evidence for the effect of the policy change on inflation persistence is mixed. Non-food inflation is fractionally cointegrated with the nominal depreciation rate. Finally, the estimation of persistence parameter is sensitive to the choice of data frequency.

Suggested Citation

  • Alisher Tolepbergen, 2020. "How persistent is inflation in Kazakhstan? A fractionally integrated approach," NAC Analytica Working Paper 9, NAC Analytica, Nazarbayev University, revised Feb 2021.
    • Handle: RePEc:ajx:wpaper:9
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    More about this item

    Keywords

    Inflation; persistence; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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