Inflation persistence in central and eastern European countries

Darvas, Ζsolt; Varga, Balázs

doi:10.1080/00036846.2013.875113

Cited by 15 publications

(8 citation statements)

References 13 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In this model, the prior measurement specification states that the residual errors of the regression are small, and the prior dynamic specification states that the coefficient vector evolves slowly over time (Darvas andVarga, 2014, p. 1439). These two different model specification errors, for models 4 and 5 can be associated with each possible sequence of coefficient estimates, .…”

Section: Methodsmentioning

confidence: 99%

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Ilhan

Akdeni̇z

2020

Ekonomi, Politika &Amp; Finans Araştırmaları Dergisi

View full text Add to dashboard Cite

Along with the ongoing efforts to understand the effects of the COVID-19 pandemic on economies through various simulations and forecasts, the severe trauma experienced in financial markets has already manifested itself in market data. Besides the uncertainty created by the pandemic, fluctuations in macroeconomic variables have increased volatility in the developed and emerging stock markets. In this context, this study aims to examine the effect of macroeconomic variables on the BIST 100 index before and during the COVID-19 pandemic. Hence, the effects of interest rate, exchange rate, CDS premium, VIX, and oil prices on BIST 100 are estimated using the Flexible Least Squares method, which allows for the time-varying coefficient estimation, for the period of 13 September 2019 to 11 September 2020. Empirical findings indicate that interest rate, VIX, and oil prices had significant effects on BIST 100 for certain periods. On the other hand, the exchange rate and CDS premium significantly and negatively affect BIST 100 in the whole sample. Moreover, it is determined that the exchange rate is the macroeconomic variable with the highest impact on BIST 100 based on the quantitative magnitude of the coefficients.

show abstract

Section: Methodsmentioning

confidence: 99%

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Ilhan

Akdeni̇z

2020

Ekonomi, Politika &Amp; Finans Araştırmaları Dergisi

View full text Add to dashboard Cite

show abstract

“…In the IE framework it is a standard discipline to adopt rational expectations as the alternative hypothesis (Menzies and Zizzo, 2009; Henckel et al, 2011). 13 Adopting that convention here suggests the following hypotheses:…”

Section: Ie In the Country Specific Phillips Curvementioning

confidence: 99%

“…Alternatively, an inflation bias may be present, implying a wedge between the official inflation target and the actual equilibrium value, and this is imperfectly observed by experts. This latter possibility is in the spirit of Gordon (1983a, 1983b) andHenckel et al (2011) 13. This has the considerable advantages of model parsimony and of nesting RE as a special case of IE, for when  = 1 the null must be rejected and RE obtains.…”

mentioning

confidence: 99%

The Great Recession and the Two Dimensions of European Central Bank Credibility

2013

View full text Add to dashboard Cite

A puzzle from the Great Recession is an apparent mismatch between a fall in the persistence of European inflation rates, and the increased variability of expert forecasts of inflation. We explain this puzzle and show how country specific beliefs about inflation are still quite close to the European Central Bank target of 2% (what we call official target credibility) but the degree of anchoring to this target has gone down, implying an erosion of what we call anchoring credibility. A decline in anchoring credibility can explain increased forecast variance independently of any changes in inflation persistence, contrary to standard time series models.

show abstract

“…There is a large empirical literature targeted at investigating the degree and evolution of inflation persistence (Darvas & Varga, 2014). Altissimo et al.…”

Section: Introductionmentioning

confidence: 99%

Regional inflation persistence in Turkey

Duran

Dindaroğlu

2020

Growth and Change

View full text Add to dashboard Cite

The purpose of the current study is to investigate the degree of inflation persistence, its geographical variation, sources of cross‐regional variation, and presence of geographical/sectoral aggregation bias in national monetary policy. Our data set covers 26 NUTS‐2 level Turkish regions and monthly CPI inflation over the period 2003–2019. We first estimate the degree of regional inflation persistence by autoregressive regressions, check its robustness against the presence of structural breaks (by Bai–Perron's algorithm) and nonlinearities (by Markovian Regime Switching regressions). Second, we examine the possibility of geographical and sectoral aggregation bias. Third, we investigate the cross‐regional determinants of inflation persistence by panel data analysis, employing hybrid‐effects spatial panel regressions. We analyze the direct and indirect effects of the determinants and test for regional spillover effects. Three main results are obtained. First, estimated persistence degrees are heterogeneous across regions. The geographical pattern is empirically robust against structural breaks and nonlinearities. We find that inflation persistence is distributed in a spatially correlated manner. Second, when sectoral and regional aggregation bias is tested, only sectoral aggregation indicates a considerable level of bias. Third, we find that the presence of large firms in the region and a higher share of agricultural output in GDP leads to lower persistence, while an increased share of industrial output, and increased trade volume leads to higher inflation persistence. Moreover, we find spatial spillovers of price variability evident in regression analysis. From a policy standpoint, it is required that structural policy programs are targeted to maintain flexibility in the regions where persistence is high (i.e., providing market entry/exit, institutional quality, policy credibility, stimulation of SMEs). Moreover, sectors that have high persistence, such as Hotels and Restaurants (persistence degree 0.55) and Health Services (0.39) should be weighted more in CPI calculations.

show abstract

Inflation persistence in central and eastern European countries

Cited by 15 publications

References 13 publications

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

The Great Recession and the Two Dimensions of European Central Bank Credibility

Regional inflation persistence in Turkey

Contact Info

Product

Resources

About