Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries

Posted: 23 Oct 2001

See all articles by Hsiu-Yun Lee

Hsiu-Yun Lee

National Chung Cheng University - Department of Economics

Jyh-Lin Wu

National Sun Yat-sen University; National Chung Cheng University - Department of Economics

Abstract

The stationarity of inflation has several important economic implications. This paper applies two recently developed panel unit root tests to re-examine the stationarity of inflation rates in 13 OECD countries. We provide strong empirical evidence to support the mean reversion of inflation rates. Our finding fails to support the accelerationist hypothesis, and it also points out that the conventional cointegration approach in analyzing the Fisher effect and the convergence of inflation rates may not be appropriate.

Suggested Citation

Lee, Hsiu-Yun and Wu, Jyh-Lin, Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries. Journal of Macroeconomics, Vol. 23, No. 3, Summer 2001. Available at SSRN: https://ssrn.com/abstract=259526

Hsiu-Yun Lee

National Chung Cheng University - Department of Economics ( email )

Ming-Halung, Chia-Yi, 621

Jyh-Lin Wu (Contact Author)

National Sun Yat-sen University ( email )

70 Lien-hai Rd.
Kaohsiung 80424, 80743
Taiwan

National Chung Cheng University - Department of Economics

168 Univeristy Road
Ming-Hsiung, Chia-Yi, Taiwan 621
Taiwan

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