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Tesi etd-09032008-092126

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Tipo di tesi
Tesi di laurea specialistica
External shocks and international inflation linkages: a Global Vector Autoregressive analysis
Settore scientifico disciplinare
Corso di studi
Relatore Prof. Marco Jacopo Lombardi
Parole chiave
  • External shocks
  • Generalized impulse response analysis
  • Global VAR
  • International transmission of inflation
Data inizio appello
Data di rilascio
Riassunto analitico
In my dissertation I examine the short-run inflationary effects of 'historical' exogenous shocks, in particular oil and food prices hikes, for a given set of economies under study. Then, I assess the importance of inflation linkages among countries, by disentangling the geographical sources of inflationary pressures for each region. I estimate a Global Vector Autoregressive (GVAR) model containing 22 country-specific VARX* models representing both industrialized and developing economies. Core inflation, headline inflation, nominal short-term interest rate and nominal effective exchange rate are the variables specific of each country, while oil and food prices are the global variables. The analysis is carried on monthly data for the period spanned from January 1999 to December 2007. The dynamical analysis is undertaken using the generalized impulse response approach, that is particularly suited for a multicountry framework such as the GVAR. Generalized impulse response functions reveal that oil price shock inflationary direct effects mostly affect developed regions while lower effects are observed for emerging regions. Food price rises have significative inflationary direct effects, especially for emerging economies. Due to both oil and food prices shocks, no significant second-round effects are observed for US and Euro Area, while the opposite is found for the Baltic countries and the Other Developed European countries. Generalized forecast error variance decompositions indicate that there exist considerable geographical and trade-based linkages among regions through which inflationary pressures are transmitted. In addiction, a considerable part of the observed headline inflation rises is attributable to foreign sources for the vast majority of the regions.