Naslov
IMPACT OF INFLATION ON OUTPUT IN CESEE COUNTRIES: EVIDENCE FROM A GLOBAL MACROECONOMETRIC MODEL

Autori
Jakšić, Saša

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of FEB Zagreb 13th International Odyssey Conference on Economics and Business / Sever Mališ, Sanja ; Jaković, Božidar ; Načinović Braje, Ivana - Zagreb : Ekonomski fakultet Sveučilišta u Zagrebu, 2022, 245-259

Skup
13th International Odyssey Conference on Economics and Business

Mjesto i datum
Dubrovnik, Hrvatska, 01.06.2022. - 04.06.2022

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Recenziran

Ključne riječi
CESEE, generalized forecast error variance decomposition, generalized impulse response functions, Global VAR, Inflation

Sažetak
Among the most monitored indicators in the countries of Central, Eastern and Southeastern Europe are output and inflation. Output, due to the lagging of the CESEE countries behind other European countries with established market economies. Inflation, on the grounds of creating a stable macroeconomic environment that should attract investors. This paper investigates the relationship between the two indicators, in selected CESEE countries for the period from January 2000 to June 2021. The transition process enforced by the EU accession, globalization and involvement in global value chains (GVC) emphasises the necessity of modelling using a multi-country framework. The methodology employed in this paper, Global Vector Autoregressive (GVAR) approach, enables modelling interactions and spillovers among countries, unlike the standard VAR models that model each economy separately and panel models, where countries are often treated as independent units. The results of the performed analysis indicate that a one standard error shock in inflation leads to an increase in output in Bulgaria, Croatia and Poland. On the other hand, it leads to a decrease in output in the Czech Republic, Estonia, Hungary, Latvia, Romania and the Slovak Republic. Meanwhile, the effect is not statistically significant in Lithuania and Slovenia. Additionally, the relative importance of various factors in domestic output dynamics is assessed. Foreign inflation, in addition to other foreign factors, contributes to domestic output dynamics, far more pronouncedly than domestic inflation. Hence, when analysing the impact of price dynamics on the domestic economy, it is not just the domestic inflation the policy-makers have to account for. In that manner, this paper contributes and provides valuable insight for policy-makers in CESEE countries because the knowledge on the sensitivity of output to inflation is of great importance for the policy-making process. As the main limitation of the study, future research should include additional factors besides inflation that influence output such as inflation and output uncertainty.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA