Frequency based co-movement of inflation in selected euro area countries
Frequency based co-movement of inflation in selected euro area countries:

This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of coh...

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Bibliographic Details
Main Author: Tiwari, Aviral Kumar (Author)
Other Authors: Bhanja, Niyati (Contributor), Dar, Arif Billah (Contributor)
Format: Electronic Book Chapter
Language:English
Published: Paris OECD Publishing 2016
Subjects:
Economics
Euro Area
Online Access:DE-384
DE-473
DE-824
DE-29
DE-739
DE-355
DE-20
DE-1028
DE-1049
DE-521
DE-861
DE-898
DE-92
DE-91
DE-573
DE-19
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Summary:This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy. Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44
Physical Description:1 Online-Ressource (13 Seiten) 21 x 28cm
DOI:10.1787/jbcma-2015-5jm26ttlxdd1

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