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Inflation Persistence in Countries Surrounding the Black Sea: ARFIMA Analysis
Inflation, which is an essential element of price stability, is an important research area in terms of macroeconomic studies. The concept of inflation persistence, which emerged as a result of the theoretical contributions of the New Keynesian economics, refers to how long it takes for the inflation rate to converge to the long-run equilibrium value after deviations in response to an economic shock, rather than maintaining inflation at a stable level. In this context, the concept also provides information about whether the economic shocks are permanent or not. Our study aims to empirically analyze the inflation persistence with a long memory model. In this context, by using the data between the periods 2006: 01 - 2018: 03 for the 6 countries surrounding the Black Sea, the degree of integration in the inflation series and whether these series have long memory properties or not are tested by using a semi-parametric GPH method. The findings indicate that inflation rates in these countries have long memory properties. In this context, it is concluded that the inflation series in these countries are highly persistent.

Inflation persistence, ARFIMA, long memory, Black Sea, macro economy.

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