Infection, invasion, and inflation: Recent lessons
David Y. Aharon and
Finance Research Letters, 2022, vol. 50, issue C
We examine the relationship between the ex-post inflation rates in the G7 countries, using a connectedness approach. Results obtained through both static and dynamic analyses confirm the US (Italy) as the main transmission (absorption) channel for inflation. Our dynamic analysis shows that the magnitude of inflation spillovers peaked during earlier market crises such as the 2008 subprime-crisis and the 2011 European debt-crisis. High level of connectedness is also witnessed during COVID-19 period and particularly surged due to the 2022 Russia-Ukraine conflict. The results may be important for corporate and national policymakers, seeking for monitoring and mapping the evolution of inflation.
Keywords: Inflation; Prices; Connectedness; TVP-VAR; COVID-19; Russia-Ukraine conflict (search for similar items in EconPapers)
JEL-codes: E31 E44 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004901
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