Multiscale Interdependence Between Consumer and Producer Prices in Emerging Eastern European Countries
Bibliographic Data
| ID | 7973366 |
|---|---|
| Authors | Dejan Živkov (0000-0003-2357-3250, University of Novi Sad), Jasmina Đurašković (0000-0001-6020-6025, Technical College of Applied Sciences), Sanja Ljubenović (Educons University) |
| Year | 2023 |
| Volume | 71 |
| Issue | 3 |
| Pages | 319-341 |
| Publication date | 2023-06-26 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Politická ekonomie (JOURNAL) |
| Journal identifiers | ISSN: 0032-3233 • E-ISSN: 2336-8225 |
| Publisher | Prague University of Economics and Business (PUBLISHER • CZ) |
| DOI | 10.18267/j.polek.1390 |
| OpenAlex | W4381792741 |
| Language | EN |
| Citations received | 1 |
| References cited | 36 |
This paper investigates multiscale causal relations between consumer and producer prices in eight emerging Eastern European countries.We use wavelet coherence to measure the multiscale nexus between inflation types, and wavelet-based Bayesian quantile regression (BQR) to inspect the spillover effect.Wavelet coherence plots indicate low coherence in the short time horizon (up to two months) and higher coherence in the longer time horizons, particularly from four mounts onwards.Areas of very high coherence are found around the Global Financial Crisis and the COVID-19 pandemic.Bidirectional spillover effect exists in all the countries except Poland and Hungary.In the Czech Republic, Slovakia, Estonia and Slovenia, producer prices have the upper hand over consumer prices, and this effect is stronger in the longer time horizons, which is in line with the wavelet coherence results.Only in the case of Lithuania, we find that consumer prices have a stronger effect on producer prices than vice versa, and this happens in the short term.In the case of Latvia, the BQR results are inconclusive because both inflation types have a precedence, but in different time horizons
Economics · Emerging markets · International economics · Macroeconomics · Monetary economics · Economic theories and models · Market Dynamics and Volatility · Monetary Policy and Economic Impact
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Regression Quantiles
The Responses of Prices at Different Stages of Production to Monetary Policy Shocks
Financial cointegration and spillover effect of global financial crisis
Catching up, forging ahead or falling behind? Central and Eastern European development in 1990–2005
Money and Inflation
| Unique citing works | 1 |
|---|---|
| Citations per year | 0.5 |
| Citation span | 2024 - 2024 (1) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 1 |