The investigation of inflation persistence in Croatia in the period of 2005–2013

Figures & data

Figure 1. Consumer price index and producer price index in Croatia in the period of 2005–2013 (2005 year = 100, seasonally adjusted).

Table 1. Bayesian VAR Estimates, lag order 2, OLS estimates, observations 2005:03–2013:12 (T=108).

Included observations: 106 after adjustments
Prior type: Litterman/Minnesota
Initial residual covariance: Univariate AR
Hyper-parameters: Mu: 0, L1: 0.1, L2: 0.99, L3: 1
Standard errors in () & t-statistics in [ ]
	CPI	PPI
CPI(-1)	0.80	0.10
	(0.04)	(0.06)
	[ 17.27]	[ 1.62]
CPI(-2)	0.08	-0.02
	(0.04)	(0.05)
	[ 2.17]	[-0.44]
PPI(-1)	0.08	0.85
	(0.03)	(0.04)
	[ 2.66]	[ 19.02]
PPI(-2)	-0.01	0.09
	(0.02)	(0.04)
	[-0.64]	[ 2.22]
C	5.06	-1.91
	(1.19)	(1.68)
	[4.23]	[-1.13]
R-squared	0.99	0.99
Adj. R-squared	0.99	0.99
Sum sq. resids	39.13	80.16
S.E. equation	0.62	0.89
F-statistic	4,674.49	5,403.22
Mean dependent	113.83	117.88
S.D. dependent	8.32	12.81
ρ= 0,88
Mean dependent var	4.73	S.D. dependent var	0.07
Sum squared resid	0.00	S.E. of regression	0.00
R-squared	0.99	Adjusted R-squared	0.99
R-squared	0.99	P-value(F)	1.8e
F(4, 101)	12,125.93	Durbin-Watson	1.95
rho	0.02

F-tests of zero restrictions:

All lags of CPI F(2, 101) = 1,279.1 [0.00]

All lags of PPI F(2, 101) = 1.27 [0.28]

All vars, lag 2 F(2, 101) = 3.00 [0.05]

Figure 2. Impulse response function of the inflation rate in Croatia. Source: Own calculations.

Figure 3. Variance decomposition of for CPI in Croatia in the period of 2005-2013. Source: Own calculations.

Figure 4. Inflation rates for particular groups of commodities and services in Croatia in the period of 2005–2013 (2005 year = 100, seasonally adjusted). Source: Own calculations.

Table 2. Inflation persistence coefficients in Croatia for different groups of goods and services in the period of 2005–2013.

Goods and services	Inflation persistence coefficients (ρ)	The number of months necessary to absorb 50% of the inflation shock (h)
Food and non-alcoholic beverages	0.91	10.1
Alcoholic beverages, tobacco	0.82	4.6
Clothing and footwear	0.89	8.1
Housing, water, electricity, gas and other fuels	0.82	4.6
Furnishings, household equipment	0.91	10.1
Health	0.91	10.1
Transport	0.90	9.0
Communication	0.91	10.1
Recreation and culture	0.91	10.1
Education	0.87	6.7
Restaurants and hotels	0.90	9.0
Miscellaneous goods and services	0.91	10.1
Average	0.88	7.3
Weighted average	0.90	9.0

Source: Author’s calculations.

Table 3. Inflation persistence coefficients in different countries in the period of 2005–2013.

Countries	Inflation persistence coefficients (ρ)	The number of months necessary to absorb 50% of the inflation shock (h)
Czech Republic	0.57	1.3
Serbia	0.81	4.3
Romania	0.73	2.7
Hungary	0.82	4.5
China	0.98	49.0
Japan	0.88	7.3
Malaysia	0.78	3.5
Singapore	0.89	8.1
Japan	0.92	11.5

Source: Mladenović and Nojković (2012); Gerlach and Tillmann (2010) and author’s calculations.

Mladenović, Z., & Nojković, A. (2012). Inflation persistence in Central and Southeastern Europe: Evidence from univariate and structural time series approaches, Panoeconomicus, 2, 235–266.

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Gerlach, S., & Tillmann, P. (2010). Inflation targeting and inflation persistence in Asia ( C.E.P.R. Discussion Papers, No. 8046). London: Centre for Economic Policy Research.

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