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Inflation Persistence and Price Dynamics in Macedonia: Theory and Empirical Analysis

Author

Listed:
  • Magdalena Petrovska

    (National Bank of the Republic of Macedonia)

  • Gani Ramadani

    (National Bank of the Republic of Macedonia)

Abstract
We apply classical econometric method to characterize the dynamic behavior of the quarter-on-quarter inflation over the period 1997q1-2010q1. In particular, we estimate univariate autoregressive (AR) models for the aggregate consumer price inflation series and as well as for the consumer price inflation at representative product groups level, taking into account the influence of structural breaks in the mean of inflation on the level of persistence. We find strong evidence for a break in the mean for the housing, transport and communication services and culture and leisure inflation. Allowing for a break in the mean of inflation, the inflation measures generally exhibit relatively lower inflation persistence. We also analyze price dynamics in Macedonia at representative products level over the same period.

Suggested Citation

  • Magdalena Petrovska & Gani Ramadani, 2010. "Inflation Persistence and Price Dynamics in Macedonia: Theory and Empirical Analysis," Working Papers 2010-01, National Bank of the Republic of North Macedonia, revised Jun 2010.
    • Handle: RePEc:mae:wpaper:2010-01
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    Download full text from publisher

    File URL: http://www.nbrm.mk/WBStorage/Files/WebBuilder_EmpiricalAnalysisofInflationPersistanceinMacedonia.pdf
    File Function: First version, 2010
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    Citations

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    Cited by:

    1. Gani Ramadani, 2017. "Measuring wage and price stickiness using firm-level data and potential implications for monetary policy in Macedonia," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.

    More about this item

    Keywords

    Inflation; inflation persistence; price dynamics;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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