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Inflation-at-Risk in in the Middle East, North Africa, and Central Asia
Author:
Mr. Maximilien Queyranne
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,
Romain Lafarguette
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Kubi Johnson
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Series:
IMF Working Papers
Volume/Issue:
Volume 2022: Issue 168
Language:
English
Publication Date:
02 Sep 2022
DOI:
https://doi.org/10.5089/9798400217630.001
ISBN:
9798400217630
ISSN:
1018-5941
Pages:
56
Keywords:
Emerging markets; inflation; inflation expectations; Phillips Curve; monetary policy; central bank communication; Middle East; North Africa; Central Asia; inflation expectation; inflation risk; self-reinforcing inflation dynamics; baseline inflation forecast; fan chart; Commodity prices; Output gap; Exchange rates; Consumer price indexes; Middle East and Central Asia
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper investigates inflation risks for 12 Middle East and Central Asia countries, with an equal share of commodities exporters and importers. The empirical strategy leverages the recent developments in the estimation of macroeconomic risks and uses a semi-parametric approach that balances well flexibility and robustness for density projections. The paper uncovers interesting features of inflation dynamics in the region, including the role of backward versus forward-looking drivers, non-linearities, and heterogeneous and delayed exchange rate pass-through. The results have important implications for the conduct of monetary policy and central bank communication in the Middle East and Central Asia and emerging markets in general.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund