Mind the Gap: City-Level Inflation Synchronization

Serhan Cevik

No 2022/166, IMF Working Papers from International Monetary Fund

Abstract: The post-pandemic rise in consumer prices across the world has renewed interest in inflation dynamics after decades of global disinflation. This paper provides a spatial investigation of inflation synchronicity at the city level in Lithuania using disaggregated monthly data during the period 2000–2021. The empirical analysis provides strong evidence that (i) the co-movement of city-level inflation rates—estimated using the instantaneous quasi-correlation approach—is significantly weaker than the extent of synchronization suggested by the simple correlation analysis; (ii) there is substantial heterogeneity in the instantaneous quasi-correlation of inflation subcomponents between city pairs; and (iii) there are significant changes in the degree of city-level synchronization over time, reflecting important economic developments in history such as the global financial crisis, the adoption of euro, and the COVID-19 pandemic.

Keywords: Inflation synchronization; subnational; transition economies; Lithuania; inflation subcomponent; inflation synchronicity; headline inflation inflation rate; correlation analysis; inflation dynamics; Inflation; Consumer price indexes; Consumer prices; Global financial crisis of 2008-2009; Housing; Global (search for similar items in EconPapers)
Pages: 17
Date: 2022-09-02
New Economics Papers: this item is included in nep-mon and nep-ure
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=522772 (application/pdf)

Related works:
Journal Article: Mind the gap: city-level inflation synchronization (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2022/166

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().