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Binh Thai Pham
''Sectoral consumer price synchronization: evidence from an emerging ASEAN economy''
( 2022, Vol. 0 No.0 )
This paper assesses spillover effects across ten sectoral consumer price indices, weighted components of the CPI basket, of an emerging ASEAN economy, Vietnam. The findings show a high degree of total connectedness across sectors. Some essential goods and services such as food and beverages, clothing and footwear, housing and utilities exhibit more central roles within the directional price graph. Besides, the time-varying spillover index announces several volatility spikes that correspond to economic turmoil, especially in the current COVID-19 pandemic. Methodological contribution suggests that one should not overlook the cointegration order regarding disaggregated consumer price indices. Robustness analysis by varying the normalization rules and estimating a TVP-VAR model agrees with the main conclusions.
Keywords: ASEAN, Vietnam, consumer price spillover, inflation contagion, price connectedness
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
C5 - Econometric Modeling: General
Manuscript Received : Nov 26 2021 Manuscript Accepted : Feb 20 2022

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