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Inflation Convergence in BRICS Countries: A Comprehensive Unit Root Test Analysis

Year 2018, Volume 6, Issue 2, 2018, 311 - 324, 31.12.2018
https://doi.org/10.17093/alphanumeric.422848

Abstract

One of the most controversial subject of economics literature is the concept of convergence. Particularly, the different types of convergence are used in empirical studies since 1980s. The aim of this study is to investigate the validity of inflation convergence in BRICS countries. In this context, the existence of inflation convergence is investigated using classical unit root tests, structural break unit root tests and nonlinear unit root tests. As a result of the analyses, we reached the result that the inflation convergence in BRICS countries is not valid, except the two tests for India and South Africa

References

  • Arestis v.d. (2011), Inflation targeting in Brazil, International Review of Applied Economics, 25(2), 127–148.
  • Barro Robert J., Xavier Sala-i-Martin, (1991), Convergence Across States and Regions, Brookings Papers on Economic Activity, 107-182.
  • Barro Robeli J., Xavier Sala-i-Martin, (1992), Convergence, The Journal of Political Economy, 100(2), 223-251.
  • Bernard Andrew B., Steven N. Durlauf, (1991), Convergence of International Output Movements, NBER Working Paper Series, No. 3717, 1-29.
  • Bernard Andrew B. and Steven N. Durlauf, (1995), Convergence In International Output, Journal of Applied Econometrics, 10(2), 97-108.
  • Bernard Andrew B., Steven N. Durlauf, (1996), Interpreting Tests of The Convergence Hypothesis, Journal of Econometrics, 71, 161-173.
  • Binder, M. and Pesaran, M.H., (1999), Stochastic Growth Models and Their Econometric Implications, Journal of Economic Growth, , 4, 139-183.
  • Carrion-i-Silvestre, German-Soto, (2008), Panel Data Stochastic Convergence Analysis of the Mexican Regions, Research Institute of Applied Economics Working Papers, 1-32.
  • Cuestas, J. C. & Ordóñez, J. (2014). Smooth Transitions, Asymmetric Adjustment and Unit Roots, Applied Economics Letters, 21(14), 969-972.
  • Dawson, Strazicich, (2010), Time-Series Tests of Income Convergence with Two Structural Breaks: Evidence from 29 Countries, Applied Economics Letters, 17, 909–912.
  • Dickey, D. A. & Fuller, W. A. (1979), Distribution of The Estimators for Autoregressive Time Series With a Unit Root, Journal of The American Statistical Association, 74, 427-431.
  • Dickey, D. A. & Fuller, W. A., (1981), Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root, Econometrica, 49(4), 1057-1072.
  • Evans Paul,(1998), Using Panel Data to Evaluate Growth Theories, International Economic Review, 39(2), 295-306
  • Fan and Wei, (2006), Price Index Convergence in China, Research Gate, (çevrimiçi) https://www.researchgate.net/publication/239831144.
  • Gluschenko (2011), Price convergence and market integration in Russia, Regional Science and Urban Economics, 41, 160–172.
  • Granger, Clive W. J. and Timo Terasvirta (1993). Modelling Non-linear Economic Relationships. New York: Oxford University Press.
  • Honohan (1990), Price and Monetary Convergence in Currency Unions: The Franc And Rand Zones, Policy, Research and External Affairs, Working Papers, Country Economics Department, The World Bank, 1-18.
  • Im, Kyung-So, M. Hashem Pesaran, and Yongcheol Shin (2003), Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115(1), 53-74.
  • Islam Nazrul,(2003), What Have We Learnt From The Convergence Debate?, Journal of Economic Surveys, 17(3), 309-362.
  • Jones, B. (2002). Economic Integration and Convergence of Per-Capita Income In West Africa, African Development Review, 14(1), 18–47.
  • Kapetanios G., Shin, Y. & Snell, A. (2003). Testing for a Unit Root in The Nonlinear STAR Framework, Journal of Econometrics, 112, 359-379.
  • Kruse, R. (2011). A New Unit Root Test Against ESTAR Based on a Class of Modified Statistics, Statistical Papers, 52(1), 71-85.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root, Journal of Econometrics, 54, 159-178.
  • Lee, J. & Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks, The Review of Economcis and Statistics, 85(4), 1082-1089.
  • Lee, J., & Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break, Manuscript, Department of Economics, Appalachian State University, 1-16.
  • Levin, Andrew, Lin, Chien-Fu, and Chu, Chia-Shang James, (2002), Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, Journal of Econometrics, 108(1), 1-24.
  • Ng, S. & Perron, P. (2001). Lag Length Selection and The Construction of Unit root Tests with Good Size and Power, Econometrica, 69(6), 1519-1554.
  • Perron, P. (1989). The Great Cash, The Oil Price Shock and The Unit Root Hypothesis, Econometrica, 57(6), 1361-1401.
  • Phillips, P. C.B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regression, Biometrica, 75(2), 335-346.
  • Quah Danny, (1993), Galton’s Fallacy and Tests of The Convergence Hypothesis, The Scandinavian Journal of Economics, 95(4), 427-443.
  • Romer, D. (1996), Advanced Macroeconomics, The McGraw-Hill Companies, Inc.
  • Sala-i-Martin Xavier X. (1996), The Classical Approach to Convergence Analysis, The Economic Journal, 106(437), 1019-1036.
  • Samarina, Terpstra, De Haan (2014), Inflation targeting and inflation performance: a comparative analysis, Applied Economics, 46(1), 41–56.
  • Sollis, R. (2009). A Simple Unit Root Test Against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rate in Nordic Countries, Economic Modelling, 26(1), 118–25.
  • Solow, R.M., (1956). A Contribution to the Theory of Economic Growth, The Quarterly Journal of Economics, 70(1), 65-94.
  • Terasvirta, Timo, (1994), Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models, Journal of the American Statistical Association, 89(425), 208-218.
  • Tinbergen, J. (1959), On the Theory of Trend Movements, Selected Papers, Edited by, Amsterdam: North Holland, 182-221.
  • Wang v.d. (2007), The Common Monetary Area in Southern Africa: Shocks, Adjustment, and Policy Challenges, IMF Working Paper, 1-63.
  • Young (2000), The Razor’s Edge: Distortions And Incremental Reform In The People’s Republic of China, The Quarterly Journal of Economics, 115(4), 1091-1135.

BRICS Ülkelerinde Enflasyon Yakınsaması: Kapsamlı Bir Birim Kök Testi Analizi

Year 2018, Volume 6, Issue 2, 2018, 311 - 324, 31.12.2018
https://doi.org/10.17093/alphanumeric.422848

Abstract

İktisat literatürünün en tartışmalı konulardan biri yakınsama kavramıdır. Özellikle 1980’li yıllardan itibaren yakınsamanın farklı türlerinin ampirik çalışmalarda kullanıldığı görülmektedir. Bu çalışmanın amacı, BRICS ülkelerinde enflasyon yakınsamasının geçerliliğinin araştırılmasıdır. Bu kapsamda enflasyon yakınsamasının varlığı, klasik birim kök testleri, yapısal kırılmalı birim kök testleri ve doğrusal olmayan birim kök testleri kullanılarak araştırılmıştır. Yapılan analizler sonucunda Hindistan ve Güney Afrika’da iki test haricinde BRICS ülkelerinde enflasyon yakınsamasının geçerli olmadığı sonucuna ulaşılmıştır.

References

  • Arestis v.d. (2011), Inflation targeting in Brazil, International Review of Applied Economics, 25(2), 127–148.
  • Barro Robert J., Xavier Sala-i-Martin, (1991), Convergence Across States and Regions, Brookings Papers on Economic Activity, 107-182.
  • Barro Robeli J., Xavier Sala-i-Martin, (1992), Convergence, The Journal of Political Economy, 100(2), 223-251.
  • Bernard Andrew B., Steven N. Durlauf, (1991), Convergence of International Output Movements, NBER Working Paper Series, No. 3717, 1-29.
  • Bernard Andrew B. and Steven N. Durlauf, (1995), Convergence In International Output, Journal of Applied Econometrics, 10(2), 97-108.
  • Bernard Andrew B., Steven N. Durlauf, (1996), Interpreting Tests of The Convergence Hypothesis, Journal of Econometrics, 71, 161-173.
  • Binder, M. and Pesaran, M.H., (1999), Stochastic Growth Models and Their Econometric Implications, Journal of Economic Growth, , 4, 139-183.
  • Carrion-i-Silvestre, German-Soto, (2008), Panel Data Stochastic Convergence Analysis of the Mexican Regions, Research Institute of Applied Economics Working Papers, 1-32.
  • Cuestas, J. C. & Ordóñez, J. (2014). Smooth Transitions, Asymmetric Adjustment and Unit Roots, Applied Economics Letters, 21(14), 969-972.
  • Dawson, Strazicich, (2010), Time-Series Tests of Income Convergence with Two Structural Breaks: Evidence from 29 Countries, Applied Economics Letters, 17, 909–912.
  • Dickey, D. A. & Fuller, W. A. (1979), Distribution of The Estimators for Autoregressive Time Series With a Unit Root, Journal of The American Statistical Association, 74, 427-431.
  • Dickey, D. A. & Fuller, W. A., (1981), Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root, Econometrica, 49(4), 1057-1072.
  • Evans Paul,(1998), Using Panel Data to Evaluate Growth Theories, International Economic Review, 39(2), 295-306
  • Fan and Wei, (2006), Price Index Convergence in China, Research Gate, (çevrimiçi) https://www.researchgate.net/publication/239831144.
  • Gluschenko (2011), Price convergence and market integration in Russia, Regional Science and Urban Economics, 41, 160–172.
  • Granger, Clive W. J. and Timo Terasvirta (1993). Modelling Non-linear Economic Relationships. New York: Oxford University Press.
  • Honohan (1990), Price and Monetary Convergence in Currency Unions: The Franc And Rand Zones, Policy, Research and External Affairs, Working Papers, Country Economics Department, The World Bank, 1-18.
  • Im, Kyung-So, M. Hashem Pesaran, and Yongcheol Shin (2003), Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115(1), 53-74.
  • Islam Nazrul,(2003), What Have We Learnt From The Convergence Debate?, Journal of Economic Surveys, 17(3), 309-362.
  • Jones, B. (2002). Economic Integration and Convergence of Per-Capita Income In West Africa, African Development Review, 14(1), 18–47.
  • Kapetanios G., Shin, Y. & Snell, A. (2003). Testing for a Unit Root in The Nonlinear STAR Framework, Journal of Econometrics, 112, 359-379.
  • Kruse, R. (2011). A New Unit Root Test Against ESTAR Based on a Class of Modified Statistics, Statistical Papers, 52(1), 71-85.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root, Journal of Econometrics, 54, 159-178.
  • Lee, J. & Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks, The Review of Economcis and Statistics, 85(4), 1082-1089.
  • Lee, J., & Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break, Manuscript, Department of Economics, Appalachian State University, 1-16.
  • Levin, Andrew, Lin, Chien-Fu, and Chu, Chia-Shang James, (2002), Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, Journal of Econometrics, 108(1), 1-24.
  • Ng, S. & Perron, P. (2001). Lag Length Selection and The Construction of Unit root Tests with Good Size and Power, Econometrica, 69(6), 1519-1554.
  • Perron, P. (1989). The Great Cash, The Oil Price Shock and The Unit Root Hypothesis, Econometrica, 57(6), 1361-1401.
  • Phillips, P. C.B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regression, Biometrica, 75(2), 335-346.
  • Quah Danny, (1993), Galton’s Fallacy and Tests of The Convergence Hypothesis, The Scandinavian Journal of Economics, 95(4), 427-443.
  • Romer, D. (1996), Advanced Macroeconomics, The McGraw-Hill Companies, Inc.
  • Sala-i-Martin Xavier X. (1996), The Classical Approach to Convergence Analysis, The Economic Journal, 106(437), 1019-1036.
  • Samarina, Terpstra, De Haan (2014), Inflation targeting and inflation performance: a comparative analysis, Applied Economics, 46(1), 41–56.
  • Sollis, R. (2009). A Simple Unit Root Test Against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rate in Nordic Countries, Economic Modelling, 26(1), 118–25.
  • Solow, R.M., (1956). A Contribution to the Theory of Economic Growth, The Quarterly Journal of Economics, 70(1), 65-94.
  • Terasvirta, Timo, (1994), Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models, Journal of the American Statistical Association, 89(425), 208-218.
  • Tinbergen, J. (1959), On the Theory of Trend Movements, Selected Papers, Edited by, Amsterdam: North Holland, 182-221.
  • Wang v.d. (2007), The Common Monetary Area in Southern Africa: Shocks, Adjustment, and Policy Challenges, IMF Working Paper, 1-63.
  • Young (2000), The Razor’s Edge: Distortions And Incremental Reform In The People’s Republic of China, The Quarterly Journal of Economics, 115(4), 1091-1135.
There are 39 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Muhammed Tıraşoğlu 0000-0003-4345-1859

İpek M. Yurttagüler 0000-0003-3368-3787

Publication Date December 31, 2018
Submission Date May 11, 2018
Published in Issue Year 2018 Volume 6, Issue 2, 2018

Cite

APA Tıraşoğlu, M., & Yurttagüler, İ. M. (2018). BRICS Ülkelerinde Enflasyon Yakınsaması: Kapsamlı Bir Birim Kök Testi Analizi. Alphanumeric Journal, 6(2), 311-324. https://doi.org/10.17093/alphanumeric.422848

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