Inflation Co-Movement in Emerging and Developing Asia: The Monsoon Effect

July 11, 2019

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Format: Chicago

Patrick Blagrave. Inflation Co-Movement in Emerging and Developing Asia: The Monsoon Effect, (USA: International Monetary Fund, 2019) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

Co-movement (synchronicity) in inflation rates among a set of 13 emerging and developing countries in Asia is shown to be strongest for the food component, partly due to common rainfall shocks—a result which the paper terms the ‘monsoon effect.’ Economies with higher trade integration and co-movement in nominal effective exchange rates also experience greater food-inflation co-movement. By contrast, cross-country co-movement in core inflation is weak and the aforementioned determinants have little explanatory power, suggesting a prominent role for idiosyncratic domestic factors in driving core inflation. In the context of the growing literature on the globalization of inflation, these results suggest that common weather patterns are partly responsible for any role played by a so-called ‘global factor’ among inflation rates in emerging and developing economies, in Asia at least.

Subject: Economic integration, Food prices, Foreign exchange, Inflation, Nominal effective exchange rate, Prices, Trade integration

Keywords: Asia and Pacific, Co-movement, Copyright page, Core CPI Inflation, Core CPI Inflation co-movement, Core inflation process, Dependent variable, Food inflation, Food Inflation co-movement, Food Inflation co-movement regression, Food prices, Global, Headline inflation inflation rate, Inflation, Inflation outcome, Monsoon effect, Movement regression, Moving average, Nominal effective exchange rate, Robustness check, Spillovers, Trade integration, Weather, WP

Publication Details

Pages:

28
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2019/147
Stock No:

WPIEA2019147
ISBN:

9781498321761
ISSN:

1018-5941

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