Inflation cycle synchronization in ASEAN countriesShow others and affiliations
2020 (English)In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 545, article id 123820Article in journal (Refereed) Published
Abstract [en]
We investigate the pairwise causality of inflation rates across time and frequencies, inflation cycle synchronization and network structure of causality between five ASEAN countries: Indonesia, Malaysia, The Philippines, Singapore, and Thailand. We draw our empirical results and conclusions by implementing dynamic conditional correlations (DCCs), a wavelet measure of cohesion for inflation cycle evolution assessment, and the spillover network index model of Diebold and Yilmaz [1,2]. We find evidence of time-dependent variation in the strength of co-movement between inflation cycles across countries. Positive network causality between inflation cycles and inflation integration across the ASEAN countries are identified. The lead-lag properties of economic indicators are observed to depend on the cycles periodicity. The inflation synchronization is particularly pronounced in Thailand. (C) 2019 Elsevier B.V. All rights reserved.
Place, publisher, year, edition, pages
ELSEVIER , 2020. Vol. 545, article id 123820
Keywords [en]
Inflation cycle synchronization; Wavelet transformation; DCC-GARCH model; ASEAN countries
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-165530DOI: 10.1016/j.physa.2019.123820ISI: 000526845600073OAI: oai:DiVA.org:liu-165530DiVA, id: diva2:1428795
Note
Funding Agencies|Jan Wallander and Tom Hedelius Foundation, Sweden; Ministry of Education of the Republic of Korea; National Research Foundation of KoreaNational Research Foundation of Korea [NRF-2017S1A5B8057488]
2020-05-062020-05-062020-05-06