Phillips curve for the Asian economies: A nonlinear perspective
This paper examines the impact of exchange-rate movements on inflation in eight Asian countries. Results from an open-economy Phillips curve are; first, the Markov-switching open-economy model confirm that the two-state Phillips curve outperforms alternative models to study inflation dynamics. There...
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my.um.eprints.271982022-05-31T03:12:22Z http://eprints.um.edu.my/27198/ Phillips curve for the Asian economies: A nonlinear perspective Baharumshah, Ahmad Zubaidi Soon, Siew Voon Wohar, Mark E. HC Economic History and Conditions Business This paper examines the impact of exchange-rate movements on inflation in eight Asian countries. Results from an open-economy Phillips curve are; first, the Markov-switching open-economy model confirm that the two-state Phillips curve outperforms alternative models to study inflation dynamics. There is considerable heterogeneity in the pass-through estimates for Asian countries, with Singapore exhibiting the lowest exchange rate pass-through (ERPT). Regime-dependent pass-through estimates are sensitive to average inflation and it should be factored in when forecasting inflation rates. Second, the extent of pass-through is considerably lower and far from complete in a low-inflation regime, endorsing Taylor hypothesis. Third, in the majority of the countries, we find support for global disinflation in domestic inflation that has strengthened over time. The main takeaway is that globalization matters for Asian inflation dynamics. Routledge Journals, Taylor & Francis Ltd 2021-09-26 Article PeerReviewed Baharumshah, Ahmad Zubaidi and Soon, Siew Voon and Wohar, Mark E. (2021) Phillips curve for the Asian economies: A nonlinear perspective. Emerging Markets Finance and Trade, 57 (12). pp. 3508-3537. ISSN 1540-496X, DOI https://doi.org/10.1080/1540496X.2019.1699789 <https://doi.org/10.1080/1540496X.2019.1699789>. 10.1080/1540496X.2019.1699789 |
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HC Economic History and Conditions Business Baharumshah, Ahmad Zubaidi Soon, Siew Voon Wohar, Mark E. Phillips curve for the Asian economies: A nonlinear perspective |
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This paper examines the impact of exchange-rate movements on inflation in eight Asian countries. Results from an open-economy Phillips curve are; first, the Markov-switching open-economy model confirm that the two-state Phillips curve outperforms alternative models to study inflation dynamics. There is considerable heterogeneity in the pass-through estimates for Asian countries, with Singapore exhibiting the lowest exchange rate pass-through (ERPT). Regime-dependent pass-through estimates are sensitive to average inflation and it should be factored in when forecasting inflation rates. Second, the extent of pass-through is considerably lower and far from complete in a low-inflation regime, endorsing Taylor hypothesis. Third, in the majority of the countries, we find support for global disinflation in domestic inflation that has strengthened over time. The main takeaway is that globalization matters for Asian inflation dynamics. |
format |
Article |
author |
Baharumshah, Ahmad Zubaidi Soon, Siew Voon Wohar, Mark E. |
author_facet |
Baharumshah, Ahmad Zubaidi Soon, Siew Voon Wohar, Mark E. |
author_sort |
Baharumshah, Ahmad Zubaidi |
title |
Phillips curve for the Asian economies: A nonlinear perspective |
title_short |
Phillips curve for the Asian economies: A nonlinear perspective |
title_full |
Phillips curve for the Asian economies: A nonlinear perspective |
title_fullStr |
Phillips curve for the Asian economies: A nonlinear perspective |
title_full_unstemmed |
Phillips curve for the Asian economies: A nonlinear perspective |
title_sort |
phillips curve for the asian economies: a nonlinear perspective |
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Routledge Journals, Taylor & Francis Ltd |
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2021 |
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http://eprints.um.edu.my/27198/ |
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1735409511908245504 |
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13.160551 |