Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine
The paper explores dynamics of inflation in Ukraine in the period of relative macroeconomic stability. The analysis of interrelationship between inflation, money growth, wage growth, and a proxy for devaluation expectations is based on impulse responses and variance decomposition of a vector autoregression model. We find that changes in devaluation expectations appear to be the most important factor driving price development, while money supply growth has negligible impact on inflation. In addition, our results evidence of high degree of inflation inertia in the economy, which may reflect the specific institutional settings of Ukrainian economy.
|Date of creation:||2005|
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- 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.
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- 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.
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Kevin Ross, 2000. "Post-stabilization inflation dynamics in Slovenia," Applied Economics, Taylor & Francis Journals, vol. 32(2), pages 135-149.
- Brüggemann, Ralf & Lütkepohl, Helmut, 2000. "Lag selection in subset VAR models with an application to a US monetary system," SFB 373 Discussion Papers 2000,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Pozo, Susan & Wheeler, Mark, 1999. "Expectations and the Black Market Premium," Review of International Economics, Wiley Blackwell, vol. 7(2), pages 245-253, May.
- 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. Full references (including those not matched with items on IDEAS)
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