Author: Antonio E. Noriega-MuroPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
On the Dynamics of Inflation Persistence Around the World
Author: Antonio E. Noriega-MuroExpectations' Anchoring and Inflation Persistence
Author: Mr.Rudolfs BemsPublisher: International Monetary Fund
ISBN: 148439223X
Category : Business & Economics
Languages : en
Pages : 31
Book Description
Understanding the sources of inflation persistence is crucial for monetary policy. This paper provides an empirical assessment of the influence of inflation expectations' anchoring on the persistence of inflation. We construct a novel index of inflation expectations' anchoring using survey-based inflation forecasts for 45 economies starting in 1989. We then study the response of consumer prices to terms-of-trade shocks for countries with flexible exchange rates. We find that these shocks have a significant and persistent effect on consumer price inflation when expectations are poorly anchored. By contrast, inflation reacts by less and returns quickly to its pre-shock level when expectations are strongly anchored.
Understanding Inflation Dynamics: The Role of Global Shocks in CEMAC
Author: Johanna TiedemannPublisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 39
Book Description
As in the rest of the world, inflation in CEMAC surged more quickly and persistently than expected during the 2021–23 period. This paper examines the drivers of inflation dynamics and the contribution of global shocks to inflation persistence in CEMAC. We use a Phillips curve framework combined with the local projections method. Our results confirm the prominent role of global factors in driving inflation dynamics. Global commodity food and oil price fluctuations, and shipping costs are the main factors explaining the large variability in headline inflation. Further, we find that global price shocks have sizable and persistent effects on domestic headline inflation, with differences in the magnitude and speed of pass-through. The pass-through from commodity food price fluctuations to headline inflation is higher and more persistent than that of other global price shocks, reflecting the large share of food in the consumption baskets, which makes inflation more vulnerable to direct effects of international food shocks, but also larger second-round effects.
Breaking Bad: A Disaggregated Analysis of Inflation Inertia
Author: Mr. Serhan CevikPublisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 15
Book Description
The post-pandemic rise in consumer prices across the world has renewed interest in inflation dynamics after decades of global disinflation. This paper contributes to the literature by providing a granular investigation of inflation persistence at the city level in Lithuania during the period 2000–2021, as well as a comparison of inflation persistence at the country level vis-àvis the eurozone over the same period. Using disaggregate monthly data collected in five major cities, the empirical analysis finds a mixed and ambiguous picture of inflation persistence. While the headline inflation does not appear to exhibit a high degree of persistence, most consumption categories have significant persistence. As a result, shocks may not remain transitory and instead have persistent effects that could spillover across subcomponents depending on the size of the shock.
The Changing Dynamics of US Inflation Persistence
Author: Peter TillmannInflation Since World War Ii Persistence, Credibility and Stability
Author: Ning ZengPublisher:
ISBN: 9781909757318
Category : Business & Economics
Languages : en
Pages : 96
Book Description
This book addresses inflation persistence, monetary credibility and stability through modelling US macroeconomic and financial data in the post-war period. First, an ARFIMA-EGARCH model is used to generate estimations capturing the stylized facts of inflation dynamics and examine the links between the inflation rate, volatility and inflation persistence. Then a modified and reduced form of accelerationist Phillips curve is employed to analyse the inflation-unemployment trade-off and thus assess monetary policy credibility. Finally, a conditional constant correlation bivariate EGARCH-in-mean model is used to investigate interactions among inflation rates, stock returns and their respective volatilities. Results provide new evidence that inflation and its volatility are involved in more active interactions in a high inflation environment, whereas less or little related when the inflation rate is lower. The core findings also suggest that the degree of inflation persistence is a reliable measure of monetary credibility. Moreover, promoting monetary stability contributes to more mutual interactions between inflation rates, stock returns and their respective volatilities. In particular, common stock is a more effective hedge against inflation, and the level of the inflation rate is central to explaining the relation between the two volatilities.
Inflation Dynamics in the Western Balkans
Author: Gohar MinasyanPublisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 38
Book Description
After trailing Euro Area inflation closely in the recent past, inflation in the Western Balkans has accelerated faster since early 2022 on the back of the shocks to global commodity prices, strong recovery from the pandemic, and lingering supply bottlenecks. This paper employs two complementary empirical approaches of an augmented Phillips curve and structural VAR, adapting them to the data availability and country specificities of the Western Balkans, to analyze the inflation dynamics in the region. It finds that international food prices affect not only headline but also core inflation as well as inflation expectations. Further, inflation in the Western Balkans is not just determined by foreign shocks, and domestic factors, aggregate demand shocks in particular, have a significant impact on inflation. These findings imply a possible role for policies to temporarily limit an immediate and complete pass-through of international to domestic food prices while also stressing the importance of an appropriate domestic macroeconomic policy mix to keep inflation expectations anchored and safeguard credibility in the face of high inflation persistence.
Understanding Euro Area Inflation Dynamics: Why So Low for So Long?
Author: Mr.Yasser AbdihPublisher: International Monetary Fund
ISBN: 1484374185
Category : Business & Economics
Languages : en
Pages : 25
Book Description
Despite closing output gaps and tightening labor markets, inflation has remained low in the euro area. Based on an augmented Phillips Curve framework, we find that this phenomenon—sometimes attributed to low global inflation—has been primarily caused by a remarkable persistence of inflation, keeping it low despite the reduction in slack. This feature is shown to be specific to the euro area (in comparison with the United States). Monetary policy needs to stay accommodative to help guide inflation back to target.
US Inflation Dynamics on Long Range Data
Author: Vasilios PlakandarasPublisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
In this paper we evaluate inflation persistence in the U.S. using long range monthly and annual data. The importance of inflation persistence is crucial to policy authorities and market participants, since the level of inflation persistence provides an indication on the susceptibility of the economy to exogenous shocks. Departing from classic econometric approaches found in the relevant literature, we evaluate inflation persistence through the nonparametric Hurst exponent within both a global and a rolling window framework. Moreover, we expand our analysis to detect the potential existence of chaos in the data generating process, in order to enhance the robustness of our conclusions. Overall, we find that inflation persistence is high from 1775 to 2013 for the annual dataset and from February 1876 to May 2014 in monthly frequency, respectively. Especially from the monthly dataset, the rolling window approach allows us to derive that inflation persistence has reached to historically high levels in the post Bretton Woods period and remained there ever since.
Author: Solange Gouvea