Naslov
Nonlinear effects in the Croatian inflation generating process

Autori
Lolić, Ivana ; Sorić, Petar

Izvornik
International journal of monetary economics and finance (1752-0479) 7 (2014), 3; 175-191

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
smooth transition regression; New Keynesian Phillips curve; inflation expectations; Consumer Surveys

Sažetak
The inflation generating process in Croatia is extensively covered in the literature. However, two main shortcomings characterize the majority of these studies. First, none of them make the effort to directly measure inflation expectations and include them in the inflation model specification. Second, they completely disregard potential asymmetric effects in the Croatian inflation generating process. This paper adds to the literature in terms of both mentioned niches. Inflation expectations are obtained directly through the Consumer Surveys. The smooth transition regression is applied to inspect for possible nonlinearities in the Croatian Hybrid New Keynesian Phillips curve. It is found that the pivotal role in the inflation generating process can be assigned to expected inflation: as the inflation expectations increase, their effect on actual inflation significantly intensifies, while the impact of inflation persistence smoothly fades away. Inflation persistence is, however, also relevant, while the output gap parameters are not significant at all.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA