THE IMPACT OF THE RUSSIAN-UKRAINIAN WAR ON THE FOOD INFLATION RATE PERSISTENCE IN UKRAINE: A FRACTIONAL INTEGRATION MODEL
DOI:
https://doi.org/10.15407/economyukr.2025.01.038Keywords:
Food inflation rate persistence; Russian-Ukrainian war; fractional integration; ARFIMA model; Ukraine.Abstract
This study seeks to test for food inflation persistence in Ukraine using univariate fractional integration techniques. The GPH (Geweke-Porter-Hudak) test and the local Whittle estimator are both methods used in the analysis of time series data, particularly in the context of long memory processes. In addition to measuring the persistence of the food inflation rate using the ARFIMA model, the empirical results suggest evidence of the persistence of low food inflation rate in Ukraine, albeit with the same trend, before and during the Russian-Ukrainian war. Also, the food inflation rate has long-term memory properties, regardless of the sample used. The results show that memory parameters for all cases (Full, Pre-war, and Dur-war) are within the stationary range (0 < d < 0.5) and with almost equal. Nevertheless, the estimates of d suggest that the food inflation rate series exhibit a long memory, that the effect of shocks will eventually disappear in the short run in all cases (Full, Pre-war, and Dur-war). So there is no strong impact of the Russian-Ukrainian war on the food inflation rate persistence in Ukraine. This explains that the Ukrainian government's monetary policy strongly absorbs the shocks and effectively mitigates the impacts of the Russian-Ukrainian war. The ability to also exploit fractional integration in a univariate setup when modeling food inflation is a major contribution of this study, and ignoring the same may lead to wrong conclusions.
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