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Author Fernández Valdovinos, Carlos G., author

Title Inflation uncertainty and relative price variability in WAEMU countries / Carlos G. Fernández Valdovinos and Kerstin Gerling
Published [Washington, D.C.] : International Monetary Fund, [2011]
©2011
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Description 1 online resource (45 pages) : illustrations
Series IMF working paper ; WP/11/59
IMF working paper ; WP/11/59
Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Background; A. The West African Economic and Monetary Union; Table 1. Characteristics of WAEMU Countries in 2009; B. The Central Bank; III. Data; A. Data Sources; Table 2. Subcategories and Weights in WAEMU Countries' HCPI; B. Recent Inflation Experience; Regional Inflation; Figure 1. WAEMU Regional Twelve-Month Inflation Rates, 1980-2009; Table 3. Statistics Describing the WAEMU Regional Inflation Rate; Domestic Inflation; Figure 2. WAEMU Member Domestic 12-Month Inflation, 1991-2009
B. Inflation and Relative Price Variability (RPV)Measure of RPV; Figure 5. Monthly Rates-Inflation and RPV in WAEMU Countries; Specifications and Empirical Results; Table 9. Linear Impact of Inflation on RPV; Table 10. Symmetric and Asymmetric Impact of Inflation on RPV; Table 11. Symmetric and Asymmetric Impact of Unexpected Inflation on RPV; V. Policy Implications; VI. Conclusions; Appendix; Bibliography; Footnotes
Table 4: Descriptive Statistics of Domestic and Regional Year-on-Year Inflation RatesInterdependence of Inflation Rates; Table 5. Variance Decomposition of Domestic Inflation; Table 6. Correlation of Inflation Shocks; IV. Analysis; A. Inflation and Inflation Uncertainty; Measure of Inflation Uncertainty; Table 7. GARCH Results for WAEMU Countries; Figure 3. Inflation Uncertainty in WAEMU Countries; Granger Causality Tests; Table 8. Granger Causality Tests for Inflation and Inflation Uncertainty; Figure 4. Impulse Response Functions-Inflation and Inflation Uncertainty
Summary Using a consistent dataset and methodology for all eight member countries of the West African Economic and Monetary Union (WAEMU) from 1994 to 2009, this paper provides evidence of the two major channels for real effects of inflation: inflation uncertainty and relative price variability. In line with theory and most evidence for advanced and emerging market economies, higher inflation increases inflation uncertainty and relative price variability in all WAEMU countries. However, the pattern, magnitude and timing of these two channels vary considerably by country. The findings raise several policy issues for future research
Bibliography Includes bibliographical references
Subject Union économique et monétaire ouest africaine.
Elasticity (Economics) -- Africa, West -- Econometric models.
Inflation (Finance) -- Africa, West -- Econometric models.
Form Electronic book
Author Gerling, Kerstin, author
International Monetary Fund. African Department, issuing body
ISBN 1283556049
145522300X
1455255262
9781283556040
9781455223008
9781455255269