Replication Data for: Shades of inflation targeting: insights from fractional integration

The package includes: (i) the README file with instructions; (ii) the dataset on monthly CPI price level series for 36 inflation-targeting economies; (iii) the R code used to transform data and construct seasonally adjusted inflation rate series; and (iv) the Stata do-file used to specify and estimate ARFIMA models.

These models are applied to assess the level of fractional integration of CPI inflation rates in 36 economies between 2000 and 2019, and to classify them into four groups of inflation targeting strategies: average IT, strict IT, flexible IT, and uncommitted IT. The materials reproduce the baseline results reported in the paper and provide a novel classification of IT strategies.