Empirical Regularities of Inflation in Latin America

Javier García-Cicco (), Lorena Garegnani (), Maximiliano Gómez Aguirre (), Ariel David Krysa () and Luis Libonatti ()
Additional contact information
Javier García-Cicco: University of San Andrés (UdeSA)
Lorena Garegnani: Central Bank of Argentina
Maximiliano Gómez Aguirre: Central Bank of Argentina
Ariel David Krysa: Central Bank of Argentina
Luis Libonatti: Central Bank of Argentina
Authors registered in the RePEc Author Service: Javier Garcia Cicco

Ensayos Económicos, 2023, vol. 1, issue 81, 5-54

Abstract: This paper makes a comparative study of the inflation dynamics of Argentina, Brazil, Chile, Colombia, Mexico, and Uruguay during the 2004-2019 period. The goal is to document a number of empirical regularities that are useful for some discussions about the determinants and mechanisms of the inflationary processes of those countries. Firstly, we apply a cointegration analysis, and two long-run relationships are found in all the analyzed countries. One relationship is related to the influence of different costs on domestic prices. The other relationship is associated with the money demand. Then, we propose a methodology for decomposing the short-run evolution of the year-onyear inflation between the effects of lagged variables and the contemporary effects of the determinants. As a result, we show that the influence of the inflation persistence explains a big part of the inflation dynamics in Argentina, Uruguay and, to a lesser extent, in Brazil. In Colombia and Mexico, the relative contribution of the autonomous persistence and the lags of the other determinants is more balanced. Finally, in Chile the autonomous persistence has a marginal influence. When focusing on the dynamics influenced by the lagged values of the other determinants, we found heterogeneous explanations in the countries of the sample.

Keywords: econometric models; inflation; Latin America (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
Date: 2023
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bcra.gob.ar/Institucional/DescargaPDF/DownloadPDF.aspx?Id=1094 Spanish version (versión en Español) (application/pdf)

Related works:
Working Paper: Empirical Regularities of Inflation in Latin America (2022)
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:bcr:ensayo:v:1:y:2023:i:81:p:5-54

Access Statistics for this article

Ensayos Económicos is currently edited by Germán Feldman

More articles in Ensayos Económicos from Central Bank of Argentina, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Federico Grillo ().