Inflation volatility: A Bayesian approach

IF 1.2 Q3 ECONOMICS Research in Economics Pub Date : 2023-03-01 DOI:10.1016/j.rie.2023.01.003

Niraj P. Koirala , Linus Nyiwul

引用次数: 0

Abstract

The ongoing trend of high inflation across much of the world has reignited interest in inflation volatility with varying foci and methods. In this paper, we employ a Bayesian framework to estimate inflation volatility using a sample of G20 countries. Estimation results suggest persistent heterogeneity in price volatility across time and countries. Furthermore, we use the Bayesian estimates of volatility to conduct several empirical analyses on the implications of interdependence of economies, development status for uncertainty. Further analyses on the determinants of price volatility suggest that trade openness, COVID-19, and the Ukraine crisis have positive impacts on volatility. Additionally, the nature of the political institutions and the share of manufacturing in total national output are also found to affect volatility to some extent.

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通货膨胀波动:贝叶斯方法

全球大部分地区持续的高通胀趋势，重新引发了人们对通胀波动性的兴趣，关注的焦点和方法各不相同。在本文中，我们使用贝叶斯框架来估计20国集团国家的通货膨胀波动。估计结果表明，不同时间和国家的价格波动存在持续的异质性。此外，我们使用波动率的贝叶斯估计对经济相互依存的影响进行了一些实证分析，发展状况的不确定性。对价格波动决定因素的进一步分析表明，贸易开放、COVID-19和乌克兰危机对波动性产生了积极影响。此外，政治制度的性质和制造业在国民总产出中的份额也在一定程度上影响波动性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in Economics ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

89 days

期刊介绍： Established in 1947, Research in Economics is one of the oldest general-interest economics journals in the world and the main one among those based in Italy. The purpose of the journal is to select original theoretical and empirical articles that will have high impact on the debate in the social sciences; since 1947, it has published important research contributions on a wide range of topics. A summary of our editorial policy is this: the editors make a preliminary assessment of whether the results of a paper, if correct, are worth publishing. If so one of the associate editors reviews the paper: from the reviewer we expect to learn if the paper is understandable and coherent and - within reasonable bounds - the results are correct. We believe that long lags in publication and multiple demands for revision simply slow scientific progress. Our goal is to provide you a definitive answer within one month of submission. We give the editors one week to judge the overall contribution and if acceptable send your paper to an associate editor. We expect the associate editor to provide a more detailed evaluation within three weeks so that the editors can make a final decision before the month expires. In the (rare) case of a revision we allow four months and in the case of conditional acceptance we allow two months to submit the final version. In both cases we expect a cover letter explaining how you met the requirements. For conditional acceptance the editors will verify that the requirements were met. In the case of revision the original associate editor will do so. If the revision cannot be at least conditionally accepted it is rejected: there is no second revision.