Examining the Friedman Hypothesis in the Case of Food Inflation: Evidence from Sri Lankan Economy (original) (raw)
Related papers
Is Food Price Inflation Transitory? Empirical Evidence from Sri Lanka.
Abstract Food prices are excluded from core measures of inflation in many countries assuming food prices are transitory. Exclusion of food prices may lead to information loss, leading to higher inflationary expectations, a downward bias to forecasts of future inflation and lags in policy responses. Assumption that log food price series behave by way of I(1) and differenced log food price series linger in the manner of I(0) process leads to model misspecification. Correct identification of the memory in the food price series is vital for the correct model specification and is important for policy makers. This study aims to examine whether food price inflation is transitory in Sri Lanka by estimating the memory properties of food price series using non-parametric, semi-parametric and parametric tests. The study covers the period from January, 2003 to December, 2013. Results show that food price inflation, nonfood price inflation and headline inflation, and global food price inflation series are fractionally integrated. Food price series in Sri Lanka commoves with global food prices. Research findings show that food price inflation is not transitory, long memory series. The outcomes of this attempt have consequential implications towards food policy, trade policy and monetary policy makers. These findings suggest that neglecting food prices may render the core inflation measure a biased measure of long run inflation. Keywords: fractionally integration, food price inflation, long memory, Sri Lanka, transitory
Is the Food Price Volatility Responsible for Inflation Volatility? An Investigation for Turkey
2018
The purpose of this study is to investigate the impact of food price and its volatility in the overall level and volatility of inflation measured by the consumer price index (CPI). Appropriate GARCH models are estimated for the food and headline inflation in Turkey as tests confirms the presence of volatility for both. Starting with a hybrid new Keynesian type of Phillips Curve, analyses based on ARDL bounds tests, VAR models and ANN all indicate that food-inflation and the change in exchange rate proxied by the US dollar have significant and lasting impact on the level and the volatility of inflation in Turkey. Hence, a policy focus on core inflation should account the food inflation. Jel Codes: C22, E31, E37
The Nature of Food Commodity Prices Volatility in Driving Inflation and Policy
SIGNIFIKAN: Jurnal Ilmu Ekonomi, 2017
The objective of research is to analyze the volatility effect of food commodity prices and whether surging food commodity prices have spilled over into food inflation and total inflation with time series data through Box-Jenkins method for 12 food commodity prices. The results have proved that only beef price had high volatility effects and have asymmetric effect. While, soybeans, cooking oil, and food are vulnerable but did not have volatility effects. The change in food commodity prices are significant drive the inflation in the long-term although in the short-term insignificant. The government needs to overcome the full transmission effect of an exogenous shock and to introduce economic reform through investment, infrastructure, and markets for corn and egg for food inflation; eggs and peanuts for total inflation. Besides, strong second-round effects of higher commodity prices on inflation have generally been absent converged to core inflation.DOI: 10.15408/sjie.v6i1.4523
The impact of macroeconomic factors on food price inflation: an evidence from India
Future Business Journal
The present study investigates the impact of macroeconomic factors on food price inflation in India utilizing the monthly time series during January 2006–March 2019. The long-run relationship is confirmed among the variables using the ARDL bounds testing approach to cointegration. The coefficients of long-run estimates show that per capita income, money supply, global food prices, and agricultural wages are positively and significantly impacted food price inflation in both the short and long-run. While food grain availability has a negative and significant impact on food price inflation in both the short-run and long run. Further, the short-run estimates revealed that real exchange rate positively impacts food price inflation. However, the coefficient is insignificant in the short-run. The Granger causality estimates show that a short-run bidirectional causality is confirmed among per capita income, the exchange rate, per capita net availability of food grain and food price inflatio...
International Journal of Professional Business Review
Purpose: This study aimed to analyze the effect of Inflation on food prices in Palopo City, where the inflation rate is calculated based on index numbers collected from several commodities traded at each price level in the market, namely the Consumer Price Index (CPI). Theoretical framework: The Vector Autoregressive (VAR) method is simultaneous equation modeling that has several endogenous variables simultaneously, but each endogenous variable is explained by lags of its own value and other endogenous variables in the model. Forecasting using the VAR method is in some cases better than complex simultaneous equations. Design/methodology/approach: The stationarity test in this study uses the Augmented Dickey-Fuller (ADF) method, followed by determining lag optimal Akaike Information Criteria (AIC) and Schwarz information Criterion (SC) analysis. The stability test of the VAR model was carried out through the Johansen Cointegration Test at a 5% significance level which produced s...
Application of GARCH models in the volatility of food inflation in Nigeria
Global Journal of Business, Economics and Management: Current Issues
This paper aimed to investigate the behavior of the current food inflation volatility arising from the recent past behavior and to know if this volatility is persistent over time in Nigeria. The study covered the period from 2003M1 to 2021M9 under both the asymmetric and the symmetric GARCH models. The findings of the study revealed that one period lag of food inflation had a positive and significant impact on the current value of food inflation. Furthermore, it was found that in all the selected models, volatility in food inflation is persistent and bad news had an impact on food volatility in two of the models, while good news had an impact in one model. However, the asymmetric coefficient in all the asymmetric models is not significant. Consequently, the study contends that policymakers should factor in the impact of recent past values of inflation when framing policies meant to tame food inflation in Nigeria. Keywords: Asymmetric models, GARCH models, inflation, volatility;