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The International Spillover Among Sectors and the Interconnectedness to the Global Inflation Cycle

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  • Eleftherios Thalassinos
  • Nejib Hachicha
  • Amira Hakim

Abstract

Purpose: The main purpose of this article is to shed light on the inflation as catalyst for the production of any other crisis. Design/Methdology/Approach: We are using the Spillover Index to detect the interconnectedness between sectors and inflation in the first step, at the second step we are detecting the cyclicity between the inflation, the commodities, and the financial cycle using the filters. Findings: We provide empirical evidence suggesting that global inflation is subject to cyclicity of oil and in opposition to the cyclicity of gold as hedge fund for money as a substitute in case that the currencies are considered as fiat money. Practical implications: Oil energy cyclicity has an important impact on managing the cyclicity of the global inflation cycle. Gold has an opposite fluctuation to the inflation cycle, suggesting that gold keeps its characteristics as a rely towards any further crisis on an era of cashless transactions. Originality/value: Energy plays a role manager for the fluctuation of the global inflation, which might give a policy for the financialization of the energy system to guarantee more tight relation with the M2 in the system

Suggested Citation

  • Eleftherios Thalassinos & Nejib Hachicha & Amira Hakim, 2022. "The International Spillover Among Sectors and the Interconnectedness to the Global Inflation Cycle," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 12(1), pages 3-11.
    • Handle: RePEc:ers:ijfirm:v:12:y:2022:i:1:p:3-11
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    References listed on IDEAS

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    1. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
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    3. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    4. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    5. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    6. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
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    Cited by:

    1. Imran Ali, 2024. "Investigating the Inflation-Economic Growth Nexus in Pakistan from 1990 to 2020," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 71-90.
    2. M Julian Tama, 2024. "Interplay of Investment Dynamics and Corruption on Economic Growth in Asia-Pacific Nations," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 141-161.
    3. Barbara Marciszewska, 2023. "Services and the Country's Balance of Payments on the Example of Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 931-944.

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    More about this item

    Keywords

    Inflation cycle; commodity; filters; spillover.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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