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Inflation Dynamics in Latin America

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  • Carlos Capistrán
  • Manuel Ramos Francia

Abstract

We analyze inflation's persistence in the 1980-2006 period for the ten largest Latin American economies using univariate time-series techniques. Although the estimated degree of inflation persistence appears to be different across countries, for the region as a whole the persistence seems to be very high. However, the estimated degree of persistence falls in all countries once we permit structural breaks in the mean of inflation. The timing of these breaks coincides with shifts in the monetary policy regimes and is similar across countries. Regardless of the changes in the mean, the degree of persistence appears to be decreasing in the region, even though for some countries persistence does not seem to be changing.

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File URL: http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/%7B4926588E-B90A-C12A-21C8-0049A216CBE2%7D.pdf
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Bibliographic Info

Paper provided by Banco de México in its series Working Papers with number 2006-11.

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Date of creation: Nov 2006
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Handle: RePEc:bdm:wpaper:2006-11

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Web page: http://www.banxico.org.mx
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Keywords: Inflation; Inflation Persistence; Latin America; Monetary Policy; Multiple Breaks; Time Series;

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References

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  1. Manuel Ramos Francia & Alberto Torres García, 2006. "Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve," Working Papers 2006-15, Banco de México.
  2. Stephen Cecchetti & Guy Debelle, 2005. "Has the inflation process changed?," BIS Working Papers 185, Bank for International Settlements.
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Citations

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Cited by:
  1. Carmen Broto, 2008. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Banco de Espa�a Working Papers 0826, Banco de Espa�a.
  2. Antonio E. Noriega & Manuel Ramos Francia, 2009. "On the dynamics of inflation persistence around the world," Working Papers 2009-02, Banco de México.
  3. Laura D´Amato & Lorena Garegnani & Juan M. Sotes, 2008. "Inflation Persistence and Changes in the Monetary Regime: The Argentine Case," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(50), pages 127-167, January -.
  4. Andrés González G. & Franz Hamann, 2011. "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," BORRADORES DE ECONOMIA 008737, BANCO DE LA REPÚBLICA.
  5. Shaun K. Roache, 2014. "Inflation Persistence in Brazil - A Cross Country Comparison," IMF Working Papers 14/55, International Monetary Fund.
  6. Guillermo Benavides, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
  7. Carlos A. Carrasco & Jesús Ferreiro, 2011. "Inflation Targeting and Economic Performance: The Case of Mexico," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(5), pages 675-692, December.
  8. Leonardo Vera, 2013. "Structural Inflation Redux," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(69), pages 37-99, December.
  9. Kenji Moriyama, 2011. "Inflation Inertia in Egypt and its Policy Implications," IMF Working Papers 11/160, International Monetary Fund.
  10. Manuel Ramos Francia & Alberto Torres García, 2006. "Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve," Working Papers 2006-15, Banco de México.
  11. José Julián Sidaoui & Carlos Capistrán & Daniel Chiquiar & Manuel Ramos Francia, 2009. "A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico," Working Papers 2009-14, Banco de México.
  12. Ramos-Francia, Manuel & Torres, Alberto, 2008. "Inflation dynamics in Mexico: A characterization using the New Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 19(3), pages 274-289, December.
  13. Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
  14. Carrasco, Carlos A., 2013. "El Nuevo Consenso Macroeconómico y la mediocridad del crecimiento económico en México
    [New Consensus Macroeconomics and the mediocrity of economic growth in Mexico]
    ," MPRA Paper 53391, University Library of Munich, Germany.
  15. Daniel Chiquiar & Antonio Noriega & Manuel Ramos-Francia, 2010. "A time-series approach to test a change in inflation persistence: the Mexican experience," Applied Economics, Taylor & Francis Journals, vol. 42(24), pages 3067-3075.

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