The Time-Variant Sources of Inflation and Inflation Volatility and Their Interrelations and Effects on Macroeconomic Fluctuations: Evidence from Indonesia and Thailand

Q4 Economics, Econometrics and Finance Journal of Business Valuation and Economic Loss Analysis Pub Date : 2020-01-01 DOI:10.36924/sbe.2020.3302
A. Hossain, M. Raghavan
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引用次数: 1

Abstract

Indonesia and Thailand, two major open economies in Southeast Asia which operate under ‘managed-float’ exchange rate systems, have remained susceptible to both the external and domestic shocks since the East-Asian financial crisis of the late 1990s. Unlike the standard monetary-policy literature, these countries have introduced ‘flexible inflation targeting’ as the monetary policy strategy under managed-float exchange rate systems. Although these countries have managed to keep inflation low on average in a low-inflation environment, inflation has however remained highly volatile. This paper attempts to answer how significant are external shocks, relative to domestic shocks, as the drivers of inflation and inflation volatility for these countries? The paper uses a Structural Vector Autoregression (SVAR) modelling framework and monthly macroeconomic data over the period 2000M1-2015M12. The empirical results suggest that in both countries, (i) inflation is more sensitive to external shocks relative to domestic shocks, which is consistent with the inflation globalization hypothesis; (ii) Inflation volatility however remains sensitive to both the external and domestic shocks; (iii) As expected, inflation and inflation volatility exhibit a feedback relation between them, which is consistent with the Friedman‐Ball and Cukierman‐Meltzer propositions. The paper also highlights that inflation and inflation volatility affect the real interest and exchange rates, which affect real output and asset prices. The paper concludes that Indonesia and Thailand can make monetary policy more effective for maintaining price stability if they make the exchange rates more flexible to ameliorate the effects of external shocks on these economies
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通货膨胀和通货膨胀波动的时变来源及其相互关系和对宏观经济波动的影响:来自印度尼西亚和泰国的证据
印度尼西亚和泰国是东南亚两个主要的开放经济体,实行“有管理的浮动”汇率制度,自20世纪90年代末东亚金融危机以来,这两个国家仍然容易受到外部和国内冲击的影响。与标准的货币政策文献不同,这些国家在有管理的浮动汇率制度下引入了“灵活的通胀目标制”作为货币政策策略。尽管这些国家在低通胀环境中设法将通胀平均保持在较低水平,但通胀仍然高度不稳定。本文试图回答,相对于国内冲击,外部冲击作为这些国家通胀和通胀波动的驱动因素有多重要?本文使用结构向量自回归(SVAR)建模框架和2000年1月至2015年12月期间的月度宏观经济数据。实证结果表明,两国的通货膨胀相对于国内冲击对外部冲击更为敏感,这与通货膨胀全球化假说相一致;然而,通货膨胀波动仍然对外部和国内冲击都很敏感;(iii)正如预期的那样,通货膨胀和通货膨胀波动之间表现出一种反馈关系,这与Friedman - Ball和Cukierman - Meltzer命题是一致的。本文还强调,通货膨胀和通货膨胀波动影响实际利率和汇率,从而影响实际产出和资产价格。本文的结论是,如果印尼和泰国提高汇率的灵活性,以减轻外部冲击对这些经济体的影响,它们可以使货币政策更有效地维持价格稳定
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来源期刊
Journal of Business Valuation and Economic Loss Analysis
Journal of Business Valuation and Economic Loss Analysis Economics, Econometrics and Finance-Finance
CiteScore
0.40
自引率
0.00%
发文量
3
期刊介绍: The Journal of Business Valuation and Economic Loss Analysis (JBVELA) is a refereed academic journal that publishes continuously throughout the year and is co-edited by Bradley Ewing and James Hoffman. The mission of the Journal of Business Valuation and Economic Loss Analysis is to improve the practice of business valuation, economic loss analysis, and risk management by helping to inform academics, practitioners, and attorneys about theoretical and practical developments in these fields.
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