Inflation Persistence in Hungary: a Spatial Analysis

Zsuzsanna Zsibók () and Balázs Varga
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Zsuzsanna Zsibók: Hungarian Academy of Sciences, Centre for Regional Studies
Balázs Varga: OTP Fund Management and Corvinus University of Budapest

No 1203, Working Papers from Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest

Abstract: On the basis of a disaggregated data set, we study inflation persistence in Hungary by focusing on regional cross-sectional variation. To this end, we use regional inflation series constructed from individual store-level price quotes. The price observations were collected for the CPI database at a monthly frequency and were provided by the Central Statistical Office of Hungary. In order to estimate inflation persistence, we assume time-varying-coefficient autoregressive models estimated by the Kalman-filter and Flexible Least Squares. The aim of the study is to describe the spatial patterns of Hungarian inflation persistence on the NUTS-3 level by using various exploratory spatial data analysis (ESDA) techniques. Furthermore, the structure of the database allows us to investigate the spatial differences at the sectoral level (in nine different product categories), as well. Previous researches found that while an apparent co-movement exists between the inflation rates in different regions, the decomposed inflation rates are quite disperse. We show that the overall level of inflation persistence decreased during the sample period, however, there are notable differences between the local patterns.

Keywords: inflation persistence; time-varying coefficient models; exploratory spatial data analysis (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2012-07
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Citations: View citations in EconPapers (1)

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