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Monetary policy regime change and regional inflation dynamics : Looking through the lens of sector-level data for Korea

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Frame of Image  Research Institute, The Bank of Korea, E-mail: ljy@bok.or.kr *** Department of Economics, Smith College The authors are grateful for the price rigidity data provided by the Bank of Korea. Any remaining errors are the authors’.
Contents
Ⅰ. Introduction ····················· ·· ·· ·· ·· ·· ·· ·· ··· ·· ·· · ·· ·· ·· ·· ··· ·· ·· ·· ·· 1 ·· ·· ·· ··· ·· ·· ·· ·· ·· ·
·· ··· ··· ··· ··· ·· · ··· ··· · Ⅱ. The Data and Preliminary Analysis ·········5
1. Data ························5 ······················· ·············· ········· ······················· 2. Preliminary Analysis ··················6 · · · · · · ·· · · · · · · · ·· · ·· · · · · · · · ·· · · · · · · · · · · ·· · · · · · · · ·· ·
Ⅲ. Econometric Analysis of City-Level Inflation by Sector · 2 1
1. Structural Changes in Inflation ·············12 ·· ··· ··· ·· ·· ··· ·· ··· ··· · ··· ··· ·· ··· · 2. Dynamic Properties of Inflation Series ·········· 15 ·········· ········· ········· 3. Impact of IT on Spatial Co-Movements of Inflation · · · · 21 ···· ···· ···· 4. Common Factor Model Analysis ············ 26 · ·· ·· ·· ·· ·· · · ·· ·· ·· ·· ·· · ·· ·· ·· ·· ·· ·· 5. Impact of IT on Intercity Relative Prices ········· 32 ········· ········ ········ 6. Price Stickiness as a Potential Factor behind the Sectoral Heterogeneity ····················35 ··················· ··················· ···················
Ⅳ. Concluding Remarks ················37 ··············· ··············· ···············
······················ ··········


Full Text
Title Monetary policy regime change and regional inflation dynamics
Similar Titles
Sub Title

Looking through the lens of sector-level data for Korea

Material Type Reports
Author(English)

Choi, Chi-Young; Lee, Joo Yong; Rîis’n OÛSullivan

Publisher

Seoul:The Bank of Korea

Date 2015
Series Title; No BOK Working Paper
Pages 49
Subject Country South Korea(Asia and Pacific)
Language English
File Type Documents
Original Format pdf
Subject Economy < Economic Conditions
Holding The Bank of Korea; KDI School

Abstract

This paper explores the impact of the adoption of inflation targeting (IT) on the dynamics of city-level inflation in Korea using both aggregate and sector-level data. When looking at aggregate regional inflation, we find that the mean, volatility and persistence fell in all cities in the wake of the monetary policy regime change, consistent with other evidence in the literature. We also note a narrowing of the dispersion of regional inflation across cities and a greater degree of regional co-movement. Delving more deeply into the disaggregate data reveals additional insights however. For most of the changes we observe in the dynamics of regional inflation, we find that the aggregate effects are being driven primarily by sectors that fall into the ‘Services’ category. (The rest omitted)