Inflation-at-Risk in in the Middle East, North Africa, and Central Asia

Maximilien Queyranne, Romain Lafarguette and Kubi Johnson

No 2022/168, IMF Working Papers from International Monetary Fund

Abstract: This paper investigates inflation risks for 12 Middle East and Central Asia countries, with an equal share of commodities exporters and importers. The empirical strategy leverages the recent developments in the estimation of macroeconomic risks and uses a semi-parametric approach that balances well flexibility and robustness for density projections. The paper uncovers interesting features of inflation dynamics in the region, including the role of backward versus forward-looking drivers, non-linearities, and heterogeneous and delayed exchange rate pass-through. The results have important implications for the conduct of monetary policy and central bank communication in the Middle East and Central Asia and emerging markets in general.

Keywords: Emerging markets; inflation; inflation expectations; Phillips Curve; monetary policy; central bank communication; Middle East; North Africa; Central Asia; inflation expectation; inflation risk; self-reinforcing inflation dynamics; baseline inflation forecast; fan chart; Commodity prices; Output gap; Exchange rates; Consumer price indexes; Middle East and Central Asia (search for similar items in EconPapers)
Pages: 56
Date: 2022-09-02
New Economics Papers: this item is included in nep-ara, nep-ban, nep-cba and nep-mon
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