Modeling Inflation Dynamics in Transition Economies: The Case of Ukraine
AbstractThis paper explores the dynamics of inflation in Ukraine in a period of relative macroeconomic stability. The analysis of the interrelationship among inflation, money growth, wage growth, and devaluation expectations is based on impulse responses and variance decomposition of a vector autoregression model. We find that changes in devaluation expectations appear to be the most important factor driving price development, while money supply growth has negligible impact on inflation. In addition, our results show evidence of a high degree of inflation inertia, which may reflect the specific institutional settings of the Ukrainian economy.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Eastern European Economics.
Volume (Year): 43 (2006)
Issue (Month): 6 (December)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=106044
Other versions of this item:
- Boriss Siliverstovs & Olena Bilan, 2005. "Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine," Discussion Papers of DIW Berlin 476, DIW Berlin, German Institute for Economic Research.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- P24 - Economic Systems - - Socialist Systems and Transition Economies - - - National Income, Product, and Expenditure; Money; Inflation
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