ASSESSING THE COINTEGRATION OF INFLATION AND PRODUCTIVITY: THE EXAMPLE OF RUSSIA AND THE COUNTRIES OF THE WEST AFRICAN ECONOMIC AND MONETARY UNION (UEMOA)

Abstract

The article presents an assessment of the cointegration of inflation and productivity indicators on the example of: Russia and UEMOA countries. As part of the study, an attempt was made to assess the presence of a long-term balance between the studied indicators for a more detailed understanding of the economic nature of two categories: “productivity” and “inflation”. The spatial aspect was chosen by the authors not by chance, since it allowed the analysis to be carried out, considering the peculiarities of different countries in presenting data with different frequencies: if monthly data are available, this provides long time series, cointegration, which can be estimated by the classical method. In the case of annual data, the time series are short, and the authors propose to evaluate the cointegration of such series using a nonparametric method. The article presents a comparative analysis of the results obtained for the countries under study based on the use of parametric and non-parametric estimation methods. The non-parametric method for assessing the probability of cointegration was used for the first time in the context of inflation and productivity indicators. Purpose. Determine the cointegration of inflation and labor productivity as an assessment of economic development. Methodology: parametric and non-parametric methods for assessing cointegration were used in the article. Results: data were obtained comparing the probabilities of cointegration of inflation and labor productivity, considering the territorial aspect and the level of economic development. Practical implications: application of a non-parametric method for assessing cointegration in the framework of economic analysis.

Keywords

• inflation
• modeling
• labor productivity
• cointegration