文章基本信息

标题：Analyzing inflation in Nigeria: a fractionally integrated ARFIMA-GARCH modelling approach
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作者：Paul Terhemba Iorember ; Terzungwe Usar ; Kabiru Hannafi Ibrahim 等
期刊名称：African Journal of Economic Review
印刷版ISSN：1821-8148
出版年度：2018
卷号：6
期号：1
页码：33-46
语种：English
出版社：African journals online
摘要：The study looked into the stochastic properties of CPI-inflation rate for Nigeria from 1995Q1 to 2016Q4. The study employed an autoregressive fractionally integrated moving average and a general autoregressive conditional heteroskedasticity (ARFIMA-GARCH) methodology as well as ADF/KPSS to investigate the long-memory properties of CPI-Inflation for Nigeria. The study found that CPI-inflation in Nigeria is shock dissipating at a geometric rate (fast mean reverting ability). The ARFIMA-GARCH process showed that CPI inflation in Nigeria is a heteroskedastic fractionally integrated process with quick mean reverting ability. The study therefore concludes that shocks to CPI-inflation in Nigeria such as sudden hikes in prices of energy products will not cause a permanent change in general price level but will eventually return to its mean state, and therefore having an implication for the Inflation-Unemployment tradeoff of the Philips curve.
关键词：Inflation;AFIMA;GARCH;Fractional Integrated and Long Memory;ADF and KPSS