Commodity Price Volatility, Cyclical Fluctuations, and Convergence
AbstractThis paper assesses the role of international commodity prices, cyclical fluctuations, and convergence in driving inflation in 18 European emerging economies. Country specific VARs and panel estimates indicate that international commodity price shocks have a significant impact on domestic inflation, but the inflation response is asymmetric for positive and negative shocks. Cyclical fluctuations explain a relative small share of inflation variability, and the inflation response is asymmetric during upturns and downturns. Price convergence is estimated to add nearly 3 percentage points to headline inflation, for the average country whose price level is about 50 percent relative to the EU-15 average.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 09/41.
Date of creation: 01 Mar 2009
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-02 (All new papers)
- NEP-CBA-2009-05-02 (Central Banking)
- NEP-EEC-2009-05-02 (European Economics)
- NEP-MAC-2009-05-02 (Macroeconomics)
- NEP-MON-2009-05-02 (Monetary Economics)
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