As a result, the primary purpose of the study is to assess the influence of these two shocks on the inflation persistence of the BRICS countries.
The most current occurrence of global instability, the COVID-19 outbreak and the ongoing Russia/Ukraine war, provide a unique research opportunity to determine if inflation volatility, generated by the pandemic and the war, is irrevocably linked to its persistence. We apply fractional integration techniques to the price series.
Our results indicate high levels of persistence in all countries, with orders of integration higher than 1 in practically all cases. This result holds independently of using data ending in January 2020 or January 2024. India is the only country with an order of integration significantly below 1 in the two cases, and thus showing evidence of mean reversion and transitory shocks.
