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Inflation cycle synchronization in ASEAN countries

Abstract : We investigate the pairwise causality of inflation rates across time and frequencies, inflation cycle synchronization and network structure of causality between five ASEAN countries: Indonesia, Malaysia, The Philippines, Singapore, and Thailand. We draw our empirical results and conclusions by implementing dynamic conditional correlations (DCCs), a wavelet measure of cohesion for inflation cycle evolution assessment, and the spillover network index model of Diebold and Yilmaz [1,2]. We find evidence of time-dependent variation in the strength of co-movement between inflation cycles across countries. Positive network causality between inflation cycles and inflation integration across the ASEAN countries are identified. The lead–lag properties of economic indicators are observed to depend on the cycle’s periodicity. The inflation synchronization is particularly pronounced in Thailand.
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Submitted on : Thursday, June 4, 2020 - 5:03:23 PM
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Sang Hoon Kang, Salim Lahmiri, Gazi Salah Uddin, Jose Arreola Hernandez, Seong-Min yoon. Inflation cycle synchronization in ASEAN countries. Physica A: Statistical Mechanics and its Applications, Elsevier, 2020, 545, pp.123820. ⟨10.1016/j.physa.2019.123820⟩. ⟨hal-02779489⟩



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