Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries

IF 0.6 Q4 ECONOMICS South Asian Journal of Macroeconomics and Public Finance Pub Date : 2017-06-01 DOI:10.1177/2277978717695157

Shesadri Banerjee

引用次数: 8

Abstract

How does volatility of inflation differ across the economies? Addressing this research question, the article undertakes an empirical exercise on monthly consumer price inflation over the sample period of M01, 1958 to M02, 2016 for 41 countries using the generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) model. The country-level analysis shows a modest difference of conditional volatility of inflation between the advanced and developing economies. However, this difference increases after controlling the country-specific traits by fixed effect panel estimation using generalized methods of moments on the estimated GARCH series. It is observed that, in the long run, the conditional variability of inflation is nearly three and half times greater in developing countries compared to advanced countries. JEL Classification: E10, E30, E31

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通货膨胀波动的经验规律：来自发达国家和发展中国家的证据

不同经济体的通货膨胀波动性有何不同？针对这一研究问题，本文使用广义自回归条件异方差（GARCH）（1，1）模型，对41个国家1958年0月1日至2016年0月2日样本期的月度消费者价格通胀进行了实证研究。国家一级的分析显示，发达经济体和发展中经济体之间的通货膨胀条件波动性差异不大。然而，在使用估计的GARCH序列上的广义矩方法通过固定效应面板估计控制国家特定性状后，这种差异会增加。据观察，从长远来看，发展中国家通货膨胀的条件变异性几乎是发达国家的3.5倍。JEL分类：E10、E30、E31

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来源期刊

South Asian Journal of Macroeconomics and Public Finance ECONOMICS-

CiteScore

2.10

自引率

11.10%

发文量

期刊介绍： The purpose of the Journal is to publish (in English language) peer-reviewed articles, reviews and scholarly comments on issues relating to contemporary global macroeconomics and public finance by which is understood: The Journal is for all professionals concerned with contemporary Macroeconomics and Public Finance and is a forum for all views on related subjects. The Editorial Board welcomes articles of current interest on research and application on the areas mentioned above. The Journal will be international in the sense that it seeks research papers from authors with an international reputation and articles that are of interest to an international audience. In pursuit of the above, the journal shall: a. draw on and include high quality work from the international community of scholars including those in the major countries of Asia, Europe, Asia Pacific, the United States, other parts of the Americas and elsewhere with due representation for considerations of the readership. The Journal shall include work representing the major areas of interest in contemporary research on Macroeconomics and Public Finance and on a wide range of issues covering macro- economics, tax and fiscal issues, banking and finance, international trade, labour economics, computational and mathematical methods, etc. The Journal would particularly engage papers on pure and applied economic theory and econometric methods. b. avoid bias in favour of the interests of particular schools or directions of research or particular political or narrow disciplinary objectives to the exclusion of others. c. ensure that articles are written in a terminology and style which makes them intelligible, not merely within the context of a particular discipline or abstract mode, but across the domain of relevant disciplines.