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Inflation Persistence in Hungary: a Spatial Analysis

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  • Zsuzsanna Zsibók

    (Hungarian Academy of Sciences, Centre for Regional Studies)

  • Balázs Varga

    (OTP Fund Management and Corvinus University of Budapest)

Abstract

On the basis of a disaggregated data set, we study inflation persistence in Hungary by focusing on regional cross-sectional variation. To this end, we use regional inflation series constructed from individual store-level price quotes. The price observations were collected for the CPI database at a monthly frequency and were provided by the Central Statistical Office of Hungary. In order to estimate inflation persistence, we assume time-varying-coefficient autoregressive models estimated by the Kalman-filter and Flexible Least Squares. The aim of the study is to describe the spatial patterns of Hungarian inflation persistence on the NUTS-3 level by using various exploratory spatial data analysis (ESDA) techniques. Furthermore, the structure of the database allows us to investigate the spatial differences at the sectoral level (in nine different product categories), as well. Previous researches found that while an apparent co-movement exists between the inflation rates in different regions, the decomposed inflation rates are quite disperse. We show that the overall level of inflation persistence decreased during the sample period, however, there are notable differences between the local patterns.

Suggested Citation

  • Zsuzsanna Zsibók & Balázs Varga, 2012. "Inflation Persistence in Hungary: a Spatial Analysis," Working Papers 1203, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
    • Handle: RePEc:mkg:wpaper:1203
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    References listed on IDEAS

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    Cited by:

    1. Hasan Engin Duran & Burak Dindaroğlu, 2021. "Regional inflation persistence in Turkey," Growth and Change, Wiley Blackwell, vol. 52(1), pages 460-491, March.

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    More about this item

    Keywords

    inflation persistence; time-varying coefficient models; exploratory spatial data analysis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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