Abstract
We examine the relationship between the ex-post inflation rates in the G7 countries, using a connectedness approach. Results obtained through both static and dynamic analyses confirm the US (Italy) as the main transmission (absorption) channel for inflation. Our dynamic analysis shows that the magnitude of inflation spillovers peaked during earlier market crises such as the 2008 subprime-crisis and the 2011 European debt-crisis. High level of connectedness is also witnessed during COVID-19 period and particularly surged due to the 2022 Russia-Ukraine conflict. The results may be important for corporate and national policymakers, seeking for monitoring and mapping the evolution of inflation.
Original language | English |
---|---|
Article number | 103307 |
Journal | Finance Research Letters |
Volume | 50 |
DOIs | |
State | Published - Dec 2022 |
Keywords
- COVID-19
- Connectedness
- Inflation
- Prices
- Russia-Ukraine conflict
- TVP-VAR
All Science Journal Classification (ASJC) codes
- Finance