Mapping inflation dynamics

Catherine Kyrtsou

No 311, Working Papers from Bank of Greece

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.

Keywords: Inflation dynamics; Inertia; RQA; GPH coefficient d; Entropy; Complexity; Phillips curve (search for similar items in EconPapers)
JEL-codes: C40 C50 E31 E52 (search for similar items in EconPapers)
Date: 2023-01
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Persistent link: https://EconPapers.repec.org/RePEc:bog:wpaper:311

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