探讨全球风险对新兴欧洲国家通胀与经济增长关系的动态局部影响

Q1 Economics, Econometrics and Finance
Emmanuel Brobbey , Ebenezer Boateng , Bernice Nkrumah Boadu , Emmanuel Asafo-Adjei , Michael Owusu Appiah , Anokye M. Adam
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引用次数: 0

摘要

近年来,新兴国家面临着巨大的外部冲击,导致经济政策的不确定性和地缘政治风险增加。同样,欧洲新兴经济体也容易受到全球冲击的影响;然而,这些冲击往往对价格和产出产生更明显的影响,这可能会随着时间和频率而变化。这凸显了在应对全球冲击时,有必要通过时间和频率对增长与通胀之间的关系进行更深入的分析,突出了该研究的独特贡献。因此,我们在四个选定的新兴欧洲国家的背景下,研究了两个全球风险因素作为不确定性指数在通货膨胀(CPI)和经济增长(GDP)中的动态条件影响。这些国家包括捷克共和国、希腊、匈牙利和俄罗斯。使用了两个不确定性指标:全球经济政策不确定性(GEPU)和地缘政治风险(GPR)。采用双小波方法来检验CPI与GDP之间的关系,而采用部分小波技术来解读CPI与GDP之间相对于全球风险因素的共同运动。我们发现短期内通货膨胀和经济增长之间存在低正向协同运动。相反,我们没有观察到长期的先导-滞后关系,证实了自然比率假说。部分小波的结果揭示了除俄罗斯外,GEPU对GDP与CPI协同运动的长期和实质性影响。时变视角被DCC-GARCH时变连通性方法证实为鲁棒性。特定国家的变量以及全球风险因素在危机事件中是高度相关的,意味着传染效应。经济增长指标显示出一致的净接收作用,而GEPU和GPR是显著的净发送器。这说明这些新兴经济体的经济增长是对GEPU和GPR冲击的反应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Exploring the dynamic partial influence of global risks on the nexus amid inflation and economic growth of emerging European countries
Emerging nations have faced significant external shocks in recent years, resulting in increased economic policy uncertainty and geopolitical risk to their growth trajectories. Similarly, emerging economies in Europe are susceptible to global shocks; however, these shocks tend to have a more pronounced impact on prices and output which may vary across time and frequency. This underscores the need for a deeper analysis through time and frequency of the growth-inflation nexus in response to global shocks highlighting the study’s unique contribution. Hence, we examined the dynamic conditional impact of two global risk factors as uncertainty indices amid inflation (CPI) and economic growth (GDP) in the context of four selected emerging European nations. These countries included Czech Republic, Greece, Hungary, and Russia. Two uncertainty indicators − Global Economic Policy Uncertainty (GEPU) and Geopolitical Risk (GPR) were utilized. The bi-wavelet approach was employed to examine the nexus between CPI and GDP, whereas the partial wavelet technique was used to decipher the co-movement between CPI and GDP relative to the global risk factors. We found low positive co-movements between inflation and economic growth in the short-term. Conversely, we observed no lead-lag nexus in the long-term confirming the natural rate hypothesis. The results of the partial wavelet divulged the protracted and substantial influence of GEPU on the co-movements between GDP and CPI except for Russia. The time-varying perspective was confirmed by the DCC-GARCH time-varying connectedness approach as robustness. The country-specific variables as well as the global risk factors are highly connected in crisis episodes implying contagion effects. The economic growth indicator revealed a consistent net receiving role whereas GEPU and GPR were significant net transmitters. This explicates that the economic growth of these emerging economies is responsive to GEPU and GPR shocks.
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来源期刊
Research in Globalization
Research in Globalization Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
8.00
自引率
0.00%
发文量
31
审稿时长
79 days
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