Time-varying trend inflation in large emerging economies

Alex, Dony (2019) Time-varying trend inflation in large emerging economies. [Working papers (or Preprints)] (Unpublished)

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We investigate the importance of time-varying trend inflation in explaining the inflation process in the five largest emerging economies: Brazil, Russia, India, China and South Africa (also known as the BRICS countries) since 1990s. Our analysis is based on a non-centered unobserved components stochastic
volatility model of inflation. We decompose inflation into a permanent stochastic trend and a transitory (inflation gap) component. The level and variability of trend inflation shows the dominance of trend component on the inflation process in all these emerging economies except India. Through time-varying
volatility of trend shocks, we analyze the monetary regimes in these countries to know whether inflation expectations have been well anchored or not. Using Bayesian model comparison we test whether stochastic volatility is required for modelling inflation in these emerging economies, and we find that stochastic
volatility provides a better fit for modelling inflation for these economies.

Item Type: Working papers (or Preprints)
Keywords: Trend-Inflation Gap Decompositions | Non-Linear State Space Models | Stochastic Volatility | Trend Inflation
Subjects: Social Sciences and humanities > Economics, Econometrics and Finance > Economics
Social Sciences and humanities > Economics, Econometrics and Finance > Statistics and Probability
JGU School/Centre: Jindal School of Liberal Arts & Humanities
Depositing User: Mr Sombir Dahiya
Date Deposited: 25 Apr 2022 04:35
Last Modified: 25 Apr 2022 04:35
Official URL: https://www.isid.ac.in/~epu/acegd2019/papers/DonyA...
URI: https://pure.jgu.edu.in/id/eprint/2625


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