Document Type
Article
Abstract
This paper employs disaggregated data of inflation combined with Factor Augmented Vector Auto Regression (FAVAR) to explore the price behaviour in Indonesia. The main finding of this analysis is that price behaviour in Indonesia exhibits heterogeneity. It is evident not only in terms of the magnitude, but also in the direction and the speed of adjustment to the new equilibrium in response to interest rate shock. Price volatility is mainly related to sector specific shocks instead of macroeconomic shocks. Another finding is, the price puzzle weakens once ITF is adopted. Keywords: price disaggregation, inflation, FAVAR, price puzzle.JEL classification: C32, E31, E52
Recommended Citation
Kusuma, IGP Wira
(2013)
"The Dynamics of Indonesian Inflation: What can We Learn from Inflation Disaggregation?,"
Bulletin of Monetary Economics and Banking: Vol. 16:
No.
1, Article 2.
DOI: https://doi.org/10.21098/bemp.v16i1.437
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol16/iss1/2
First Page
39
Last Page
72
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
Indonesia
Affiliation
Bank Indonesia
