Journal of Economics and Finance

, Volume 27, Issue 2, pp 136–152 | Cite as

Long memory and structural breaks in hyperinflation countries



In this paper we examine the stochastic behavior of prices in hyperinflation countries by using a fractional integration test (Robinson 1994) that lends itself to incorporating structural breaks into the model. We focus on Argentina, Brazil, and Israel and find that when allowing for structural breaks, in the form of slope dummies (or squared slope dummies), the order of integration of the series decreases considerably. Especially in the case of Brazil, the degree of persistence of inflation seems to be less substantial than estimated in other studies, which might be interpreted as evidence against “heterodox” inflation stabilization. (JEL C22, E31)


Monetary Policy Unit Root Structural Break Fractional Integration Spectral Density Function 


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Copyright information

© Academy of Economics and Finance 2003

Authors and Affiliations

  1. 1.Centre for Monetary and Financial EconomicsSouth Bank UniversityLondonUK
  2. 2.Department of EconomicsUniversity of NavarreNavarreUSA

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