Cointegration Approach to Analysing Inflation in Croatia
The aim of this paper is to analyse the determinants of inflation in Croatia in the period 1994:6-2006:6. We use a cointegration approach and find that increases in wages positively influence inflation in the long-run. Furthermore, in the period from June 1994 onward, the depreciation of the currency also contributed to inflation. Money does not explain Croatian inflation. This irrelevance of the money supply is consistent with its endogeneity to exchange rate targeting, whereby the money supply is determined by developments in the foreign exchange market. The value of inflation in the previous period is also found to be significant, thus indicating some inflation inertia.
Volume (Year): 33 (2009)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: Smiciklasova 21, 10000 Zagreb|
Web page: http://www.fintp.hr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kim, Byung-Yeon, 2001. "Determinants of inflation in Poland : A structural cointegration approach," BOFIT Discussion Papers 16/2001, Bank of Finland, Institute for Economies in Transition.
- M S Mohanty & Marc Klau, 2001. "What determines inflation in emerging market economies?," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 1-38 Bank for International Settlements.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Payne, James E., 2002. "Inflationary dynamics of a transition economy: the Croatian experience," Journal of Policy Modeling, Elsevier, vol. 24(3), pages 219-230, June.
- Saikkonen, Pentti & L tkepohl, Helmut & Trenkler, Carsten, 2006. "Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing," Econometric Theory, Cambridge University Press, vol. 22(01), pages 15-68, February.
- Masso, Jaan & Staehr, Karsten, 2005.
"Inflation dynamics and nominal adjustment in the Baltic States,"
Research in International Business and Finance,
Elsevier, vol. 19(2), pages 281-303, June.
- Jaan Masso & Karsten Staehr, 2005. "Inflation Dynamics And Nominal Adjustment In The Baltic States," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 35, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- Craig S. Hakkio & Mark Rush, 1990.
"Cointegration: how short is the long run?,"
Research Working Paper
90-08, Federal Reserve Bank of Kansas City.
- Nikolic, Milan, 2000. "Money Growth-Inflation Relationship in Postcommunist Russia," Journal of Comparative Economics, Elsevier, vol. 28(1), pages 108-133, March.
- Edgar L. Feige, 2003.
"The Dynamics of Currency Substitution, Asset Substitution and De facto Dollarization and Euroization in Transition Countries,"
- Edgar L. Feige, 2003. "The Dynamics of Currency Substitution, Asset Substitution and De facto Dollarization and Euroization in Transition Countrieses," Macroeconomics 0305003, EconWPA.
- Feige,E.L., 2003. "The dynamics of currency substitution, asset substitution and de facto dollarization and euroization in transition countries," Working papers 3, Wisconsin Madison - Social Systems.
- Bent Nielsen, 2000.
"Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend,"
Econometric Society World Congress 2000 Contributed Papers
1494, Econometric Society.
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
- Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
- Josef Brada & Ali Kutan, 1999.
"The End of Moderate Inflation in Three Transition Economies?,"
William Davidson Institute Working Papers Series
230, William Davidson Institute at the University of Michigan.
- Brada, Josef C. & Kutan, Ali M., 1999. "The end of moderate inflation in three transition economies?," ZEI Working Papers B 21-1999, University of Bonn, ZEI - Center for European Integration Studies.
- Josef C. Brada & Ali M. Kutan, 1999. "The end of moderate inflation in three transition economies?," Working Papers 1999-003, Federal Reserve Bank of St. Louis.
- Josef C. Brada & Ali M. Kutan, 2002. "The End of Moderate Inflation in Three Transition Economies?," William Davidson Institute Working Papers Series 433, William Davidson Institute at the University of Michigan.
- Olena BILAN & Boriss SILIVERSTOVS, .
"Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine,"
- Boriss Siliverstovs & Olena Bilan, 2006. "Modeling Inflation Dynamics in Transition Economies: The Case of Ukraine," Eastern European Economics, M.E. Sharpe, Inc., vol. 43(6), pages 66-81, December.
- Boriss Siliverstovs & Olena Bilan, 2005. "Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine," Discussion Papers of DIW Berlin 476, DIW Berlin, German Institute for Economic Research.
- Arratibel, Olga & Rodriguez-Palenzuela, Diego & Thimann, Christian, 2002. "Inflation dynamics and dual inflation in accession countries: a 'New Keynesian' perspective," Working Paper Series 0132, European Central Bank.
- Josip Funda & Gorana Lukiniæ & Igor Ljubaj, 2007. "Assessment of the Balassa-Samuelson Effect in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 31(4), pages 321-351.
- Leo Bonato & Andreas Billmeier, 2002.
"Exchange Rate Pass-Through and Monetary Policy in Croatia,"
IMF Working Papers
02/109, International Monetary Fund.
- Billmeier, Andreas & Bonato, Leo, 2004. "Exchange rate pass-through and monetary policy in Croatia," Journal of Comparative Economics, Elsevier, vol. 32(3), pages 426-444, September.
- Edgar L Feige, 2003. "Dynamics of Currency Substitution, Asset Substitution and De facto Dollarisation and Euroisation in Transition Countries," Comparative Economic Studies, Palgrave Macmillan, vol. 45(3), pages 358-383, September.
- Ekaterina VOSTROKNUTOVA, 2003.
"Polish Stabilization: What Can We Learn From the I (2) Cointegration Analysis,"
Economics Working Papers
ECO2003/06, European University Institute.
- Ekaterina Vostroknutova, 2003. "Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?," Economic Change and Restructuring, Springer, vol. 36(2), pages 177-198, June.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, June.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Mejra Festić, 2000. "Are Wages an Important Determinant of Inflation in Slovenia?," Eastern European Economics, M.E. Sharpe, Inc., vol. 38(5), pages 36-59, October.
- Trenkler, Carsten, 2002.
"The effects of ignoring level shifts on systems cointegration tests,"
SFB 373 Discussion Papers
2002,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Carsten Trenkler*, 2005. "The Effects of Ignoring Level Shifts on Systems Cointegration Tests," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 89(3), pages 281-301, August.
- Mejra Festić, 2000. "Are Wages an Important Determinant of Inflation in Slovenia?," Eastern European Economics, Taylor & Francis Journals, vol. 38(5), pages 36-59, September.
- Kevin Ross, 2000. "Post-stabilization inflation dynamics in Slovenia," Applied Economics, Taylor & Francis Journals, vol. 32(2), pages 135-149.
- Dibooglu, Sel & Kutan, Ali M., 2005. "Sources of inflation and output movements in Poland and Hungary: Policy implications for accession to the economic and monetary union," Journal of Macroeconomics, Elsevier, vol. 27(1), pages 107-131, March.
- Evan Kraft, 2003. "Monetary Policy under Dollarisation: The Case of Croatia," Comparative Economic Studies, Palgrave Macmillan, vol. 45(3), pages 256-277, September.
- Bruno, Michael, 1993. "Crisis, Stabilization, and Economic Reform: Therapy by Consensus," OUP Catalogue, Oxford University Press, number 9780198286639, June.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Wojciech Maliszewski, 2003. "Modeling Inflation in Georgia," IMF Working Papers 03/212, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:ipf:finteo:v:33:y:2009:i:2:p:201-218. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martina Fabris)
If references are entirely missing, you can add them using this form.