Malikane, Christopher (2012): Inflation dynamics and the cost channel in emerging markets.
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We investigate inflation dynamics and the presence of the cost channel in ten emerging markets since the 1990's from the new Keynesian and triangle Phillips curve perspectives. A negative sign on the output gap is a common finding in new Keynesian specifications. This problem may be addressed by taking into account the endogeneity of the nominal interest rate in the instrument set of GMM estimations. We confirm substantial and significant backward-looking behavior in the inflation process of emerging markets, but its size is not robust to specification in some economies. In almost all the triangle model estimations, except for Hungary, the output gap exhibits the correct sign. Except for Mexico, there is no evidence of the cost channel in emerging market economies. The cost channel is not robust to the endogeneity of the nominal interest rate and to the specification of the Phillips curve.
|Item Type:||MPRA Paper|
|Original Title:||Inflation dynamics and the cost channel in emerging markets|
|English Title:||Inflation Dynamics and the Cost Channel in Emerging Markets|
|Keywords:||Cost channel, inflation dynamics, Phillips curve|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General
|Depositing User:||christopher malikane|
|Date Deposited:||01. Dec 2012 01:22|
|Last Modified:||11. Feb 2013 17:19|
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