Determinants of Inflation in Europe – A Dynamic Panel Analysis

Čaklovica, Lejla; Efendić, Adnan

doi:10.2478/fiqf-2020-0018

Cited by 4 publications

(1 citation statement)

References 105 publications

(166 reference statements)

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“…Food price shocks have large but short-lived effects, while energy price shocks have longer-lasting effects on the inflation rate. Using the dynamic panel methodology, Čaklovica and Efendic (2020) found that economic openness, unemployment, real wages, institutional effects, as well as external factors, such as prices of food and oil, determine the short-run inflationary dynamics in these countries. The obtained results also indicate that the inflation rate is autoregressive in the observed period (2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015), confirming that the contemporaneous inflation rate is determined by the entire history of these determinants.…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach

Jakšić

2022

Review of Economic Perspectives

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After a prolonged period of relatively stable price levels, the beginning of the third decade of the 21st century has brought inflation once again into the spotlight. This paper focuses on the inflation dynamics in a set of post-communist countries that eventually became members of the European Union. Due to EU accession augmented by the globalization process and involvement in global value chains (GVC), the international impacts are becoming progressively important for the domestic inflation dynamics and domestic variables are not sufficient to fully describe the domestic inflation dynamics. The employed methodology, Global Vector Autoregressive (GVAR) approach, allows modelling interactions and spillovers among countries, making the most of its advantages over the usual VAR models that model each economy separately and panel models, where countries are often treated as independent units. The results of the empirical analysis confirm that the globalisation process has led to increasing the importance of international impacts on the domestic inflation dynamics. On the other hand, the results also indicate that accounting for a larger set of countries decreases the severity of the commodity price shocks and makes them less persistent. Furthermore, monetary policy acts as a buffer against adverse shocks, especially in the countries that are still not members of the euro-zone. The findings of the paper show that the analysed countries are pronouncedly heterogeneous. Hence, each of the analysed economies has its own set of country-specific factors which, from country to country, play a more important or a less significant role in explaining national inflation dynamics. Thus, the paper should contribute to a more comprehensive understanding of the inflation dynamics in the policy-making context.

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Section: Literature Reviewmentioning

confidence: 99%

Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach

Jakšić

2022

Review of Economic Perspectives

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Global and domestic drivers of inflation: evidence from select South Asian countries

Sajid,

Ali,

Ahmad

et al. 2024

JEAS

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PurposeThis study empirically examines the impact of some domestic as well as global factors such as trade openness (TO), money supply (MS), exchange rate, global oil prices (GOPs) and interest rate (IR) on inflation.Design/methodology/approachThis study deploys a quantitative method considering 30 years of data (1991–2020) from four South Asian countries, namely, Sri Lanka, Pakistan, Bangladesh and India. To determine the potential impact of different factors on inflation, this study applies the panel analysis of the system generalized method of moments (SGMM).FindingsThis study empirically finds that TO, MS, exchange rate and GOPs have a positive impact on inflation, while IR and the structural adjustment program (SAP) have a negative impact on inflation. Out of the various determinants considered in this study, TO, exchange rate and the SAP are insignificant, while the rest of the variables are significant and consistent with previous studies.Practical implicationsThis study informs policymakers about maintaining price stability and fostering economic growth in South Asian nations. It breaks new ground as the first empirical examination of the International Monetary Fund (IMF)’s SAP impact on inflation in the region.Originality/valueThis study tries to find out whether the SAP of the IMF is responsible for inflation in South Asian countries. It gives renewed attention to the causality of inflation from the perspective of countries receiving loans from donors, especially the IMF.

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The Relationship Between Inflation, Exchange Rate and Credit Growth in Turkey: Fourier-Shin Co-Integration Analysis

YETER

EROĞLU

2022

Finans Ekonomi Ve Sosyal Araştırmalar Dergisi

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Türkiye’de yaklaşık son on yıldaki iktisat politikasındaki eksen kaymasını enflasyonist koşulların değişimi üzerinden gözlemlemek mümkündür. Bu çalışma böyle bir bakış açısının ürünü olarak enflasyonist koşullardaki değişimi 2017 yılı öncesi “tek haneli enflasyon dönemi” ve 2017 yılı ve sonrasını “çift haneli enflasyon dönemi” olarak nitelemektedir. Türkiye ekonomisinin küresel kriz koşullarından çıktığı 2011 yılından itibaren enflasyonist koşullar ile mücadele anlamında fiyat istikrarı amacı yanına makro finansal riskleri de gözeten finansal istikrarı da politika setine eklediği görülmektedir. Bu çalışmanın ampirik uygulamasına konu olan 2011-2021 dönemi Türkiye’de üzerinde fazlaca tartışmalar olan döviz kuru bağlamında TL/USD kuru ve toplam kredi hacminin büyüme hızının enflasyon üzerindeki etkilerini konu edinmektedir. Türkiye’deki enflasyonun yaklaşık son on yılını ve bu dönem içerisinde ayrı bir öneme sahip olan 2017-2021 dönemini karşılaştırmalı olarak analiz edilmektedir. Bu analiz çerçevesinde Fourier fonksiyonlarına dayalı “Fourier-Shin” eş bütünleşme testi ve uzun dönemli katsayı tahmini olarak DOLS yöntemi kullanılmıştır. Bulgular Türkiye’de tüm dönem için kredi büyümesinin enflasyon üzerinde önemli bir belirleyici olarak yer aldığı ancak 2017 sonrası dönemde kur geçişkenliğinin enflasyon üzerinde daha belirleyici olduğunu göstermektedir.

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Determinants of Inflation in Europe – A Dynamic Panel Analysis

Cited by 4 publications

References 105 publications

Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach

Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach

Global and domestic drivers of inflation: evidence from select South Asian countries

The Relationship Between Inflation, Exchange Rate and Credit Growth in Turkey: Fourier-Shin Co-Integration Analysis

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