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Global inflation spillovers and regional transmission dynamics: Evidence from a TVP-VAR connectedness framework

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  • Fukuda, Shin

Abstract

This study investigates the international spillover effects of inflation across twelve advanced and emerging economies, with a particular focus on the Asia-Oceania region. Employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) model and the Connectedness Approach, we quantify the dynamic transmission of inflationary shocks from 2000 to 2025. Our analysis incorporates crude oil prices as an exogenous upstream variable and distinguishes between RCEP member countries and non-members.

Suggested Citation

  • Fukuda, Shin, 2026. "Global inflation spillovers and regional transmission dynamics: Evidence from a TVP-VAR connectedness framework," The Journal of Economic Asymmetries, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:joecas:v:33:y:2026:i:c:s1703494926000137
    DOI: 10.1016/j.jeca.2026.e00461
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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