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Inflation Volatility in Indonesia Using ARIMA Model: Before and During COVID-19

In: Environmental, Social, and Governance Perspectives on Economic Development in Asia

Author

Listed:
  • Setyo Tri Wahyudi
  • Rihana Sofie Nabella
  • Kartika Sari

Abstract

This study examines the volatility of inflation in Indonesia before and during COVID-19, focusing on people’s purchasing power. The high inflation variability makes future price expectations uncertain, creating risks in the long run and uncertainty in wealth redistribution. The ARIMA model was used from January 2005 to June 2020. The results show that the ARMA (0.1) model is suitable for testing inflation volatility in Indonesia. Forecasting results show that inflation for the next six months will still be under pressure due to COVID-19.

Suggested Citation

  • Setyo Tri Wahyudi & Rihana Sofie Nabella & Kartika Sari, 2021. "Inflation Volatility in Indonesia Using ARIMA Model: Before and During COVID-19," International Symposia in Economic Theory and Econometrics, in: Environmental, Social, and Governance Perspectives on Economic Development in Asia, volume 29, pages 151-168, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-03862021000029a024
    DOI: 10.1108/S1571-03862021000029A024
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    More about this item

    Keywords

    Inflation; inflation volatility; ARIMA; price level; inflation forecasting; COVID-19; C22; E52;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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