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Analysing the spillover of inflation in selected Euro-area countries

Tiwari, Aviral Kumar and Shahbaz, Muhammad and Hasim, Haslifah M and Elheddad, Mohamed M (2019) 'Analysing the spillover of inflation in selected Euro-area countries.' Journal of Quantitative Economics, 17 (3). 551 - 577. ISSN 0971-1554

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We examined the spillover of inflation in selected Euro-area countries using monthly consumer price index (CPI) based inflation data covering the period 1955M1 to 2017M4. To achieve our objective, we used two recently developed methods of spillover: a time-domain spillover method, Diebold–Yilmaz (hereafter referred as DY method) and a frequency-domain method, Barunik–Krehlik (hereafter referred as BK method). We analysed 1–4 months and more than 4 months spillovers. The study has importance because the co-movement in the international inflation rates, among others, may be produced by common shocks, similarities in central bank reaction functions, international trade and the operation of purchasing power parity theory. However, to assess the synchronisation of inflation fluctuations across countries or regions, it is critical to understand the inflation behaviour and formulation of correct monetary policy.

Item Type: Article
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 01 Oct 2019 10:10
Last Modified: 01 Oct 2019 11:15

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