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Inflation cycle synchronization in ASEAN countries

Sang Hoon Kang, Salim Lahmiri, Gazi Uddin (), Jose Arreola Hernandez and Seong-Min Yoon ()
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Sang Hoon Kang: Pusan National University
Salim Lahmiri: ESCA Ecole de Management
Jose Arreola Hernandez: Rennes School of Business

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Abstract: We investigate the pairwise causality of inflation rates across time and frequencies, inflation cycle synchronization and network structure of causality between five ASEAN countries: Indonesia, Malaysia, The Philippines, Singapore, and Thailand. We draw our empirical results and conclusions by implementing dynamic conditional correlations (DCCs), a wavelet measure of cohesion for inflation cycle evolution assessment, and the spillover network index model of Diebold and Yilmaz [1,2]. We find evidence of time-dependent variation in the strength of co-movement between inflation cycles across countries. Positive network causality between inflation cycles and inflation integration across the ASEAN countries are identified. The lead–lag properties of economic indicators are observed to depend on the cycle's periodicity. The inflation synchronization is particularly pronounced in Thailand.

Keywords: Inflation cycle synchronization; Wavelet transformation; DCC-GARCH model; ASEAN countries (search for similar items in EconPapers)
Date: 2020-05
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Published in Physica A: Statistical Mechanics and its Applications, Elsevier, 2020, 545, pp.123820. ⟨10.1016/j.physa.2019.123820⟩

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DOI: 10.1016/j.physa.2019.123820

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