SecThis paper assesses spillover effects across ten sectoral consumer price indices, weighted components of the CPI basket, of an emerging ASEAN economy, Vietnam. The findings show a high degree of total connectedness across sectors. Some essential goods and services such as food and beverages, clothing and footwear, housing and utilities exhibit more central roles within the directional price graph. Besides, the time-varying spillover index announces several volatility spikes that correspond to economic turmoil, especially in the current COVID-19 pandemic. Methodological contribution suggests that one should not overlook the cointegration order regarding disaggregated consumer price indices. Robustness analysis by varying the normalization rules and estimating a TVP-VAR model agrees with the main conclusions.toral consumer price synchronization: evidence from an emerging ASEAN economy

Binh Pham ()
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Binh Pham: College of Economics, Law and Government, University of Economics Ho Chi Minh City (UEH)

Economics Bulletin, 2022, vol. 42, issue 1, 17 - 29

Keywords: ASEAN; Vietnam; consumer price spillover; inflation contagion; price connectedness (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2022-02-20
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