DOI: https://doi.org/10.52903/wp2023311
MAPPING INFLATION DYNAMICS
Catherine Kyrtsou
University of Macedonia
Abstract
CPI inflation is subject to structural changes and exogeneous shocks that can have a significant impact to its dynamic evolution. The observed interaction between the intrinsic side of inflation dynamics and the disturbances fuels a rich spectrum of behaviors. To accommodate the complex outcome of interactions, we propose a methodological strategy combining the non-parametric Recurrence Quantification Analysis (RQA), the GPH fractional integration coefficient d and the Phillips-curve based framework. The empirical findings demonstrate the nonlinear contribution of inflation inertia to the headline inflation dynamics, mainly over the last eight quarters of the sample alongside the occurrence of price shocks.
JEL-Classifications: C40, C50, E31, E52.
Keywords: Inflation dynamics, Inertia, RQA, GPH coefficient d, Entropy, Complexity, Phillips curve.
Acknowledgments: The views expressed in this paper are those of the author and do not necessarily reflect those of the Bank of Greece. This research was conducted in the context of the Bank’s programme of cooperation with universities.
Correspondence:
Catherine Kyrtsou
University of Macedonia
156 Egnatia Street, 546 36
Thessaloniki, Greece
Email: ckyrtsou@uom.edu.gr