On the disparate evidence on trend stationarity in inflation rates: a reappraisal

Abstract

Conflicting findings on stationarity in inflation have been reported in different economic literatures. This study attempts to reconcile the disparate findings and provides alternative international evidence on stationarity in inflation. Empirical results show that when a new, powerful unit-root test is applied, strong and consistent evidence of stationarity can be found in monthly inflation rates. The results further show that the use of different data frequencies and different price indices to measure inflation, as in prior studies, may also affect test results and lead to disparities in findings on stationarity.