Monetary Policy and Inflation Dynamics in ASEAN Economies

Abstract

Cover -- Contents -- I. Introduction -- II. Empirical Methodology and Data -- Modeling Inflation Dynamics -- Data -- Estimation Approach -- III. What drives inflation dynamics in ASEAN-5 countries? -- Key Findings -- The Role of Forward-Looking Dynamics -- Inflation Dynamics and Cyclical Fluctuations -- Inflation Dynamics, Non-oil-import and Oil Price Inflation -- IV. Country-specific evidence -- Indonesia -- Malaysia -- Philippines -- Singapore -- Thailand -- V. Robustness checks -- Different Measures of Macroeconomic Indicators -- Measures of the Output Gap -- Indicators of Inflation Expectations -- Import Price Measures -- Model Specifications -- Impact of Time-varying Parameters -- Coefficients of Non-Oil-Import Price and Oil Price Inflation -- Models including oil price inflation and exchange rate -- VI. Conclusions -- VI. References -- Figures -- Figure 1: Relative Median Contribution of Inflation Drivers in ASEAN-5 countries -- Figure 2: Long-term Inflation Expectations (Trend Inflation Estimates) -- Figure 3: Consensus Long-term Inflation Expectations -- Figure 4: ASEAN-5 CBs: Dincer-Eichengreen CB transparency index -- Figure 5: Correlation Between Forward-looking Dynamics and DE transparency: Coefficients -- Figure 6: Correlation Between Forward-looking Dynamics and DE transparency: contributions -- Figure 7: Median Contribution of Output Gap in ASEAN-5 countries -- Figure 8: Phillips curve Slope Estimates -- Figure 9: Median Contribution of Import Inflation in ASEAN-5 Countries -- Figure 10: Main Inflation Components: Indonesia -- Figure 11: Time-varying Coefficient Estimates: Indonesia -- Figure 12: Main Inflation Components: Malaysia -- Figure 13: Time-varying Coefficient Estimates: Malaysia -- Figure 14: Main Inflation Components: Philippines -- Figure 15: Time-varying Coefficient Estimates: Philippines.