detect three regimes corresponding to the periods of "Great Inflation", "Great Moderation", and the zero lower bound (ZLB …

co-integration tests and the studies on South Africa primarily using short-span data from the post-Bretton Woods era, we … Dollar using annual data from 1910 – 2010. The results provide some support for the monetary model in that long-run co-integration …

). The empirical results show the relevance of the modeling approach and provide evidence of regime change in inflation …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …

Two recent studies have found markedly different measures of the welfare cost of inflation in South Africa, obtained … through the estimation of long-run money demand relationships using cointegration and long-horizon approaches. Realizing that …-horizon method is more robust to alternative methods of time aggregation, and, given this the welfare cost of inflation in South …

The existing literature on the theoretical relationship between the rate of inflation and real stock prices in an … economy has shown varied predictions about the long run effects of inflation on real stock prices. In this paper, we present … that, in the long run real stock prices are invariant to permanent changes in the rate of inflation. The impulse responses …

This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South … features of inflation series simultaneously by measuring inflation uncertainty as the conditional variance of inflation …’s hypothesis. This implies that past information on inflation can help improve the one-step-ahead prediction of inflation …