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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Working Papers No. 2025-13
Verlag: 
Banco de México, Ciudad de México
Zusammenfassung: 
Using a sample of advanced and emerging economies, this paper studies the volatility of three inflation measures from January 2001 to March 2023, employing variants of the GARCH model that account for the sign, magnitude, and persistence of shocks. The results show that the inflation surge during the COVID-19 pandemic coincided with increased volatility in several countries. However, this is not the norm in the studied period. Descriptive evidence indicates that a strong positive correlation between inflation and its volatility within countries was observed at the beginning of the Global Financial Crisis and during the pandemic, two periods characterized by global inflationary pressures and high commodity prices, whereas in other periods, this correlation is nonexistent or weak.
Schlagwörter: 
Inflation
Volatility
COVID-19 Pandemic
Global Inflation
JEL: 
E31
C32
C51
Dokumentart: 
Working Paper
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