A Historical Perspective of Inflation in Latin America. A New Approach Based on Fractional Integration with a Structural Break

This paper deals with the analysis of inflation in Latin America across the 20th century. We use annual data from 18 countries using a methodology based on fractional integration. However, given the structure of the inflation rates in these countries, we allow for the possibility of a structural break that is endogenously determined by the model. The results show that for most of the countries the break-date takes place in the late 1980s or early 1990s, and the orders of integration are in all cases higher than 0.5 and, in many cases, smaller than 1, implying non-stationary mean reverting behaviour.