Examination of inflation convergence using fourier unit root tests: OECD countries

Süreyya İmre Bıyıklı

Makale detayları

Examination of inflation convergence using fourier unit root tests: OECD countries

Yazarlar:

Süreyya İmre Bıyıklı

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri Teorisi

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 42, pp.140-153

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001356017

pISSN:

2651-396X

Anahtar kelimeler:

Özet:

 This study examines the validity of the inflation convergence hypothesis in OECD countries, which include both developed and developing countries. Using monthly data for the period 1995:01 to 2023:01, the results of the analysis were obtained using the Fourier-Kruse 2019 test with constant, constant and trend model. Thus, the aim is to provide more comprehensive results with advanced econometric methods that consider both structural breaks and non-linear relationships at the same time. According to the results of the Fourier-Kruse 2019 test, all the series except for Korea and Italy are stationary in the fixed model, while all the series except for Italy, Hungary, Korea and Turkey are stationary in the fixed and trend model. For stationary series, the F-statistic proposed by Becker et al. 2006 is used. Accordingly, the hypothesis of convergence in the stationary model holds for Austria, Belgium, Canada, Chile, Colombia, Denmark, Finland, France, Germany, Hungary, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovenia, Spain, Sweden, Switzerland and Turkey. In the constant and trend model, the convergence hypothesis is found to hold for Austria, Belgium, Canada, Colombia, Denmark, Finland, France, Germany, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovakia, Spain, Sweden and Switzerland. According to the results, inflation convergence has generally shown a positive trend in the OECD countries. The countries where inflation convergence has not been achieved may be due to divergences in economic dynamics and monetary policies.

 This study examines the validity of the inflation convergence hypothesis in OECD countries, which include both developed and developing countries. Using monthly data for the period 1995:01 to 2023:01, the results of the analysis were obtained using the Fourier-Kruse 2019 test with constant, constant and trend model. Thus, the aim is to provide more comprehensive results with advanced econometric methods that consider both structural breaks and non-linear relationships at the same time. According to the results of the Fourier-Kruse 2019 test, all the series except for Korea and Italy are stationary in the fixed model, while all the series except for Italy, Hungary, Korea and Turkey are stationary in the fixed and trend model. For stationary series, the F-statistic proposed by Becker et al. 2006 is used. Accordingly, the hypothesis of convergence in the stationary model holds for Austria, Belgium, Canada, Chile, Colombia, Denmark, Finland, France, Germany, Hungary, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovenia, Spain, Sweden, Switzerland and Turkey. In the constant and trend model, the convergence hypothesis is found to hold for Austria, Belgium, Canada, Colombia, Denmark, Finland, France, Germany, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovakia, Spain, Sweden and Switzerland. According to the results, inflation convergence has generally shown a positive trend in the OECD countries. The countries where inflation convergence has not been achieved may be due to divergences in economic dynamics and monetary policies.

 This study examines the validity of the inflation convergence hypothesis in OECD countries, which include both developed and developing countries. Using monthly data for the period 1995:01 to 2023:01, the results of the analysis were obtained using the Fourier-Kruse 2019 test with constant, constant and trend model. Thus, the aim is to provide more comprehensive results with advanced econometric methods that consider both structural breaks and non-linear relationships at the same time. According to the results of the Fourier-Kruse 2019 test, all the series except for Korea and Italy are stationary in the fixed model, while all the series except for Italy, Hungary, Korea and Turkey are stationary in the fixed and trend model. For stationary series, the F-statistic proposed by Becker et al. 2006 is used. Accordingly, the hypothesis of convergence in the stationary model holds for Austria, Belgium, Canada, Chile, Colombia, Denmark, Finland, France, Germany, Hungary, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovenia, Spain, Sweden, Switzerland and Turkey. In the constant and trend model, the convergence hypothesis is found to hold for Austria, Belgium, Canada, Colombia, Denmark, Finland, France, Germany, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovakia, Spain, Sweden and Switzerland. According to the results, inflation convergence has generally shown a positive trend in the OECD countries. The countries where inflation convergence has not been achieved may be due to divergences in economic dynamics and monetary policies.

 This study examines the validity of the inflation convergence hypothesis in OECD countries, which include both developed and developing countries. Using monthly data for the period 1995:01 to 2023:01, the results of the analysis were obtained using the Fourier-Kruse 2019 test with constant, constant and trend model. Thus, the aim is to provide more comprehensive results with advanced econometric methods that consider both structural breaks and non-linear relationships at the same time. According to the results of the Fourier-Kruse 2019 test, all the series except for Korea and Italy are stationary in the fixed model, while all the series except for Italy, Hungary, Korea and Turkey are stationary in the fixed and trend model. For stationary series, the F-statistic proposed by Becker et al. 2006 is used. Accordingly, the hypothesis of convergence in the stationary model holds for Austria, Belgium, Canada, Chile, Colombia, Denmark, Finland, France, Germany, Hungary, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovenia, Spain, Sweden, Switzerland and Turkey. In the constant and trend model, the convergence hypothesis is found to hold for Austria, Belgium, Canada, Colombia, Denmark, Finland, France, Germany, Iceland, Ireland, Japan, Latvia, Lithuania, Luxembourg, Mexico, Norway, Poland, Portugal, Slovakia, Spain, Sweden and Switzerland. According to the results, inflation convergence has generally shown a positive trend in the OECD countries. The countries where inflation convergence has not been achieved may be due to divergences in economic dynamics and monetary policies.

Makale detayları

Examination of inflation convergence using fourier unit root tests: OECD countries

Yazarlar:

Süreyya İmre Bıyıklı

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri Teorisi

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 42, pp.140-153

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001356017

pISSN:

2651-396X

Inflation Convergence

Fourier Unit Root

OECD Countries

Sayı

Makale detayları

Examination of inflation convergence using fourier unit root tests: OECD countries

Yazarlar: Süreyya İmre Bıyıklı

Yayıncı: Istanbul University

Ana Başlıklar: Ekonometri Teorisi

Dergi: EKOIST Journal of Econometrics and Statistics Issue 42, pp.140-153

Belge Tipi: Makale

Yayın Tarihi: 6/2025

Belge Dili: İngilizce

Document ID (Org No.): 2001356017

pISSN: 2651-396X

Inflation Convergence

Fourier Unit Root

OECD Countries

Sayı

Yazarlar:

Süreyya İmre Bıyıklı

Yayıncı:

Istanbul University

Ana Başlıklar:

Ekonometri Teorisi

Dergi:

EKOIST Journal of Econometrics and Statistics Issue 42, pp.140-153

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001356017

pISSN:

2651-396X