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Inflation volatility across advanced and emerging economies during the COVID-19 pandemic

Author

Listed:
  • Lenin Arango-Castillo
  • María José Orraca
  • Regina Briseño

Abstract

Using a sample of advanced and emerging economies, this paper studies the volatility of three inflation measures from January 2001 to March 2023, employing variants of the GARCH model that account for the sign, magnitude, and persistence of shocks. The results show that the inflation surge during the COVID-19 pandemic coincided with increased volatility in several countries. However, this is not the norm in the studied period. Descriptive evidence indicates that a strong positive correlation between inflation and its volatility within countries was observed at the beginning of the Global Financial Crisis and during the pandemic, two periods characterized by global inflationary pressures and high commodity prices, whereas in other periods, this correlation is nonexistent or weak.

Suggested Citation

  • Lenin Arango-Castillo & María José Orraca & Regina Briseño, 2025. "Inflation volatility across advanced and emerging economies during the COVID-19 pandemic," Working Papers 2025-13, Banco de México.
    • Handle: RePEc:bdm:wpaper:2025-13
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    File URL: https://www.banxico.org.mx/publications-and-press/banco-de-mexico-working-papers/%7BA878E916-1E6B-D82B-D52D-784A84C1FBBA%7D.pdf
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    Keywords

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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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