Inflation cycle synchronization in ASEAN countries
作者: Sang Hoon KangSalim LahmiriGazi Salah UddinJose Arreola HernandezSeong-Min Yoon
作者单位: 1Department of Business Administration, Pusan National University, Busan, Korea
2ESCA School of Management, Casablanca, Morocco
3Department of Management and Engineering, Linköping University, Linköping, Sweden
4Department of Finance and Accounting, Rennes School of Business, Brittany, France
5Department of Economics, Pusan National University, Busan, Korea
刊名: Physica A: Statistical Mechanics and its Applications, 2020, Vol.545
来源数据库: Elsevier Journal
DOI: 10.1016/j.physa.2019.123820
关键词: Inflation cycle synchronizationWavelet transformationDCC-GARCH modelASEAN countries
原始语种摘要: Abstract(#br)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...
全文获取路径: Elsevier  (合作)

  • inflation 膨胀
  • causality 因果律
  • ASEAN 东盟
  • spillover 溢出
  • periodicity 周期性
  • empirical 经验的
  • dependent 从属的
  • Malaysia 马来西亚
  • economic 经济的
  • across 横过