Dynamics of Mexican Inflation: A Wavelet Analysis

Cortés Espada Josué Fernando, Daniel Samano and Gutiérrez Villanueva Rubí

No 2019-17, Working Papers from Banco de México

Abstract: This paper uses the wavelet methodology to analyze the dynamics of inflation in Mexico at different frequencies over time. First, we analyze the monthly behavior of the headline, core, and noncore inflation from January 2007 to December 2018. Subsequently, the decomposition shows that the shocks on headline inflation in 2017 were mainly associated with the high-frequency component and they did not generate changes in its low-frequency component.

Keywords: Inflation; Wavelet decomposition; Wavelet variance; Trend inflation (search for similar items in EconPapers)
JEL-codes: C19 C49 C65 E31 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-mac and nep-mon
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