IDEAS home Printed from https://ideas.repec.org/a/voj/journl/v59y2012i2p235-266id346.html
   My bibliography  Save this article

Inflation Persistence in Central and Southeastern Europe: Evidence from Univariate and Structural Time Series Approaches

Author

Listed:
  • Zorica Mladenović
  • Aleksandra Nojković

Abstract

The purpose of this paper is to measure inflation persistence in the following countries of Central and Southeastern Europe: Slovakia, the Czech Republic, Poland, Hungary, Romania and Serbia. The study sample covers monthly data from January, 1995 to May, 2010 for Poland, Hungary and Slovakia, from January 1994 to May, 2010 for the Czech Republic, and from January, 2002 to June 2010 for Romania. The shortest sample used, from January, 2003 to September, 2010, was for Serbia and is due to the late start in the transition process. The results of this study enriched the existing ones on this topic by extending the sample period to cover even the recent years of relatively higher inflation rates and by including Romania and Serbia, which were not previously considered. The study led to two main findings: first, inflation of moderate to high magnitude persistence in Hungary, Poland, Romania and Serbia, and inflation of smaller order persistence in Slovakia and the Czech Republic was detected within the Markov switching model approach. In addition, the changes in inflation persistence often correspond to changes in variability and mean of inflation. Second, New Keynesian Phillips Curve represents a valid structural approach to describe the inflation dynamics in this region. In all the six cases studied, weights on backward and forward looking behaviors were significant, while the impact of the driving variable was insignificant only once. It is found that significant influence of the economic driving variable can be captured by real gross wage inflation and real broad money growth. The estimates show that the backward-looking term plays an important role in determining the inflation dynamics. Similar conclusions are drawn by using quarterly data in econometric estimations for the selected countries. Key words: Inflation persistence, Inflation targeting, Markov switching models, The new hybrid Phillips curve model.JEL: E31, E52.

Suggested Citation

  • Zorica Mladenović & Aleksandra Nojković, 2012. "Inflation Persistence in Central and Southeastern Europe: Evidence from Univariate and Structural Time Series Approaches," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(2), pages 235-266.
    • Handle: RePEc:voj:journl:v:59:y:2012:i:2:p:235-266:id:346
    as

    Download full text from publisher

    File URL: https://panoeconomicus.org/index.php/jorunal/article/view/346/330
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:voj:journl:v:59:y:2012:i:2:p:235-266:id:346. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ivana Horvat (email available below). General contact details of provider: https://panoeconomicus.org/index.php/jorunal/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.