Replication Package for Decomposing the Rate of Inflation: Forecast-Based Connectedness among CPI Components

Description

This repository contains the data and R code used to replicate all empirical results, figures, and tables presented in the above-mentioned article. The study employs a time-varying parameter vector autoregressive (TVP-VAR)-based connectedness approach to analyze country-specific inflation-transmission mechanisms across CPI components. This package is designed to ensure transparency and facilitate the independent verification of the statistical findings.

Steps to reproduce

To reproduce the results, please follow these steps: 1. Click the 'Download all' button to get a zip file. 2. Extract the contents of the compressed folder. 3. Open the R project file by double-clicking on RCode.Rproj. 4. Open the file main.R. 5. Run the script in its entirety. Upon successful execution, the package will reproduce: - TABLE 1. Summary statistics - TABLE 2. Averaged dynamic connectedness measures - TABLE A1. Kendall rank correlations between TVP-VAR residuals - FIGURE 1. Year-over-year consumer price inflation (%) - FIGURE 2. Central bank policy rates (%) - FIGURE 3. Consumer component price indices - FIGURE 4. Dynamic total connectedness - FIGURE 5. Dynamic net total directional connectedness - FIGURE A1. Dynamic total connectedness TO others - FIGURE A2. Dynamic total connectedness FROM others All tables will be displayed in the R console and all figures will be stored in the automatically created 'output' folder.

Institutions

• University of Doha for Science and Technology

  Baladīyat ad Dawḩah, Doha
• University of Portsmouth

  England, Portsmouth
• Audencia Business School

  Pays de la Loire, Nantes
• Lincoln University

  Canterbury, Lincoln
• London School of Economics and Political Science

  England, London

Categories

Licence