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Characteristics of inflation in Greece: Mean Spillover Effects among CPI Components

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  • Nicholas Apergis

Abstract

The objective of this paper is to investigate the behaviour of various CPI components in terms of their spillover behaviour. This is the first study analyzing the causal relationship between CPI components in Greece. The empirical analysis uses data on different components of the Consumer Price Index (CPI) with 1995 as the base year (1995=100). Data covers the period 1981 to 2009. Our results indicated the primary price movements are transmitted from the energy price indices, i.e. the electricity price index, the energy price index and the fuels and gas price index, while a secondary role also comes from the food and vegetables price index along with the services price index. In terms of causality, the evidence indicates that there is a unidirectional transmission of energy prices disturbance to the remaining CPI components, while innovations (shocks) to the remaining CPI components did not have any significant effect on all indices.

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Bibliographic Info

Paper provided by Hellenic Observatory, LSE in its series GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe with number 43.

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Date of creation: Jan 2011
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Handle: RePEc:hel:greese:43

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Keywords: CPI inflation; disaggregated data; spillover effects; VAR models; Greece.;

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Cited by:
  1. Helen Caraveli & Efthymios G. Tsionas, 2012. "Economic restructuring, crises and the regions: the political economy of regional inequalities in Greece," LSE Research Online Documents on Economics 44882, London School of Economics and Political Science, LSE Library.
  2. Horen Voskeritsian & Andreas Kornelakis, 2011. "Institutional Change in Greek Industrial Relations in an Era of Fiscal Crisis," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 52, Hellenic Observatory, LSE.
  3. George Pagoulatos & Nikolaos Zahariadis, 2011. "Politics, labor, regulation, and performance: lessons from the privatization of OTE," LSE Research Online Documents on Economics 33827, London School of Economics and Political Science, LSE Library.
  4. Spyros Kosmidis, 2013. "Government Constraints and Economic Voting in Greece," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 70, Hellenic Observatory, LSE.
  5. Nicos Christodoulakis, 2014. "The Conflict Trap in the Greek Civil War 1946-1949: An economic approach," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 83, Hellenic Observatory, LSE.
  6. George Pagoulatos & Nikolaos Zahariadis, 2011. "Politics, Labor, Regulation, and Performance: lessons from the privatization of OTE," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 46, Hellenic Observatory, LSE.
  7. Nicholas Apergis, 2011. "Characteristics of inflation in Greece: Mean Spillover Effects among CPI Components," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 43, Hellenic Observatory, LSE.
  8. Vassilis Monastiriotis, 2011. "Regional distribution and spatial impact of FDI in Greece: evidence from firm-level data," LSE Research Online Documents on Economics 32566, London School of Economics and Political Science, LSE Library.
  9. Christos Lyrintzis, 2011. "Greek politics in the era of economic crisis: reassessing causes and effects," LSE Research Online Documents on Economics 33826, London School of Economics and Political Science, LSE Library.
  10. Spyros Kosmidis, 2013. "Government constraints and economic voting in Greece," LSE Research Online Documents on Economics 50259, London School of Economics and Political Science, LSE Library.
  11. George Alogoskoufis, 2013. "Macroeconomics and politics in the accumulation of Greece’s debt: an econometric investigation, 1975-2009," LSE Research Online Documents on Economics 50257, London School of Economics and Political Science, LSE Library.
  12. Manussos Marangudakis & Kostas Rontos & Maria Xenitidou, 2013. "State Crisis and Civil Consciousness in Greece," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 77, Hellenic Observatory, LSE.
  13. Christos Lyrintzis, 2011. "Greek Politics in the Era of Economic Crisis: Reassessing Causes and Effects," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 45, Hellenic Observatory, LSE.
  14. George Alogoskoufis, 2012. "Greece’s Sovereign Debt Crisis: Retrospect and Prospect," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 54, Hellenic Observatory, LSE.
  15. Vassilis Monastiriotis & Angelo Martelli, 2013. "Beyond Rising Unemployment: Unemployment Risk, Crisis and Regional Adjustments in Greece," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 80, Hellenic Observatory, LSE.
  16. Platon Monokroussos & Dimitrios D. Thomakos, 2012. "Can Greece be saved? Current Account, fiscal imbalances and competitiveness," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 59, Hellenic Observatory, LSE.
  17. Emmanuel Mamatzakis, 2013. "Are there any animal spirits behind the scenes of the Euro area sovereign debt crisis?," LSE Research Online Documents on Economics 50984, London School of Economics and Political Science, LSE Library.
  18. Nick Papandreou, 2014. "Life in the First Person and the Art of Political Storytelling:The Rhetoric of Andreas Papandreou," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 85, Hellenic Observatory, LSE.
  19. Yiannos Katsourides, 2013. "Political Parties and Trade Unions in Cyprus," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 74, Hellenic Observatory, LSE.
  20. Yannis Valinakis, 2012. "Greece’s European Policy Making," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 63, Hellenic Observatory, LSE.
  21. Prodromos Vlamis, 2013. "Greek Fiscal Crisis and Repercussions for the Property Market," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 76, Hellenic Observatory, LSE.

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