Frequency based co-movement of inflation in selected euro area countries

Aviral Tiwari, Niyati Bhanja () and Arif Dar

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2016, vol. 2015, issue 2, 1-13

Abstract: This paper investigates the extent to which inflation rates in selected euro area countries are synchronised. The synchronisation of inflation is analysed using the multiple-correlation and multiple cross correlation at different frequencies using the methodology of wavelets. This new measure of cohesion based on wavelets allows us to assess how synchronisation has fevolved across different frequencies. Our results indicate that inflation correlations are more apparent at lower frequencies and the co-movement grows with lower frequencies. When we allow the correlation to be analysed across different frequencies as well as over time, our results indicate that the correlation has increased after the formation of euro area probably because of the common monetary policy. Keywords: Co-movement, wavelets, time-frequency, inflation cycles JEL classification: C40, E31, E32, F44

JEL-codes: C40 E31 E32 F44 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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