Inflation Dynamics in Post-Soviet Economies: Evidence from Linear and Nonlinear Time-Series Models

This study examines the dynamics of inflation in 13 post-Soviet economies over the period 1992–2024 using annual consumer price index data. Linear and nonlinear econometric approaches—including ARMA, GARCH-type, and threshold autoregressive (TAR) models—are employed to capture both persistence and regime-dependent behavior in inflation processes. The results reveal significant cross-country heterogeneity. Inflation in Estonia and Lithuania exhibits rapid mean reversion under low-inflation regimes, reflecting strong institutional credibility, whereas Belarus and Tajikistan display prolonged persistence driven by fiscal imbalances. Evidence of asymmetric volatility in Armenia and Kazakhstan highlights the vulnerability of commodity-dependent economies to exchange-rate and external shocks. Overall, the findings emphasize that institutional quality and policy coherence are essential for achieving durable price stability. Strengthening central bank independence, enhancing fiscal discipline, and adopting credible inflation-targeting regimes are vital for sustaining macroeconomic stability in the post-Soviet region. The study also demonstrates the analytical value of nonlinear models in capturing the complex and asymmetric nature of inflation adjustment in transition economies.