Inflation Co-Movement in Emerging and Developing Asia: The Monsoon Effect

Contributor Notes

Author’s E-Mail Address: Pblagrave@imf.org

Title Page

Asia and Pacific Department

Copyright Page

© 2019 International Monetary Fund

June 2019

Contents

  • I. Introduction

  • II. Stylized Facts

    • A. Data

    • B. Summary Statistics

  • III. Empirical Approach: Inflation Co-Movement and Determinants

    • A. Measure of Co-Movement: The Instantaneous Quasi-Correlation

    • B. Drivers of Co-Movement: Empirical Specification and Results

  • IV. Robustness

  • V. Conclusions

  • Figures

  • 1. Relationship between headline inflation co-movement and trade integration

  • 2. Relationship between food inflation co-movement and trade integration

  • 3. Relationship between core inflation co-movement and trade integration

  • 4. Relationship between food inflation co-movement and rainfall co-movement

  • Tables

  • 1. Food inflation co-movement regressions

  • 2. Core inflation co-movement regressions

  • 3. Food inflation co-movement, robustness checks

  • 4. Core inflation co-movement, robustness checks

  • References

  • Appendix

Inflation Co-Movement in Emerging and Developing Asia: The Monsoon Effect
Author: Patrick Blagrave