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Mapping inflation dynamics

Author

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  • Catherine Kyrtsou

    (University of Macedonia)

Abstract

CPI inflation is subject to structural changes and exogeneous shocks that can have a significant impact to its dynamic evolution. The observed interaction between the intrinsic side of inflation dynamics and the disturbances fuels a rich spectrum of behaviors. To accommodate the complex outcome of interactions, we propose a methodological strategy combining the non-parametric Recurrence Quantification Analysis (RQA), the GPH fractional integration coefficient d and the Phillips-curve based framework. The empirical findings demonstrate the nonlinear contribution of inflation inertia to the headline inflation dynamics, mainly over the last eight quarters of the sample alongside the occurrence of price shocks.

Suggested Citation

  • Catherine Kyrtsou, 2023. "Mapping inflation dynamics," Working Papers 311, Bank of Greece.
    • Handle: RePEc:bog:wpaper:311
    DOI: 10.52903/wp2022311
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    More about this item

    Keywords

    Inflation dynamics; Inertia; RQA; GPH coefficient d; Entropy; Complexity; Phillips curve;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • 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

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