WORKING PAPER 2012 / 3 INFLATION PERSISTENCE IN HUNGARY: Zsuzsanna Zsibók & Balázs Varga A SPATIAL ANALYSIS DEPARTMENT OF MATHEMATICAL ECONOMICS

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1 CORVINUS UNIVERSITY OF BUDAPEST DEPARTMENT OF MATHEMATICAL ECONOMICS AND ECONOMIC ANALYSIS Fövám tér 8., 193 Budapest, Hungary Phone: (+36-1) , Fax: (+36-1) Emal of correspondng author: Webste: WORKING PAPER 212 / 3 INFLATION PERSISTENCE IN HUNGARY: A SPATIAL ANALYSIS Zsuzsanna Zsbók & Balázs Varga July 212

2 Abstract. JEL (Journal of Economc Lterature) codes Keywords 1. Introducton

3

4

5 2. Data

6 3. Methodology

7 t t t t t u t T n t, t,t,,t, u t, T n t t t t t

8 t o t o t o T r M T r D T r T r T C M D r M D r

9 n n n j j j n n j j x x w x x x x w n I x x x x j j w n I n I I I

10 n n wj j x t Wx t t I,t I,t

11 4. Results

12 I I p p I I

13 I I I I

14

15 4% 3% 2% 1% % -1% -2% -3% chun ctd wtd std nhun ngp sgp -4% -5% -6% I I I

16

17

18 ,5,4,3,2,1 -,1 chun ctd wtd std nhun ngp sgp country -,2 -,3 -,

19 ,45,4,35,3,25,2,15,1 chun ctd wtd std nhun ngp sgp country,5 -,5 -,

20 ,16,14,12,1,8 mu=1^1,5 mu=1^2,5,6,4, I I I I I

21

22 t

23

24 ,7,6,5,4,3,2,1 -,1 proc unpr clot dur other serv ener alc tob -,2 -,3 -, ,6,5,4,3,2,1 proc unpr clot dur other serv ener alc tob -,1 -,2 -,

25 5. Concluson

26 References Journal of Regonal Scence Central Bank Occasonal Paper Seres European Workng Paper Federal Reserve Bank of Chcago Spatal Econometrcs, Methods and Models Geographcal Analyss Companon to econometrcs European Central Bank Workng Paper Seres Workng Paper Seres European Central Bank NBER Workng Paper Journal of Econometrcs Spatal Autocorrelaton

27 European Central Bank Workng Paper Seres European Central Bank Workng Paper Seres Regonal prce dfferences n Hungary Paper Seres European Central Bank Workng European Central Bank Workng Paper Seres Spatal Data Analyss Theory and Practce Regonal Studes Journal of Money, Credt and Bankng Journal of Economc Dynamcs and Control Computers and Mathematcs wth Applcatons IEEE Transactons on Systems, Man, and Cybernetcs Basc Engneerng Journal of Journal of Poltcal Economy Papers n Regonal Scence

28 Occasonal Papers European Central Bank Workng Paper Seres Elemzés a konvergencafolyamatokról Applcatons: An Internatonal Journal Expert Systems wth Geographcal Analyss European Central Bank Workng Paper Seres Journal of Economc Dynamcs and Control Bulletn Economcs Manageral and Decson Economcs Papers n Regonal Scence of Macroeconomcs Handbook Seres European Central Bank Workng Paper

29 Appendx,5,45,4,35,3,25,2,15,1,

30 Moran I,4,3,2,1 -,1 -,2 -,3 -, Date,25,2,15,1,5 -,5 -,1 Monthly nflaton Moran I (1st order) Moran I (dstance) monthly nflaton Moran I,4,3,2,1 -,1 -,2 -,3 -, Date,8,7,6,5,4,3,2,1 St dev Moran I (1st order) Moran I (dstance) stdev

31 Moran I,3,2,1 -,1 -,2 -, Date,7,6,5,4,3,2,1 Yearly nflaton Moran I (1st order) Moran I (dstance) yearly nflaton Moran I,3,2,1 -,1 -,2 -, Date,16,14,12,1,8,6,4,2 St dev Moran I (1st order) Moran I (dstance) stdev

32 Moran I,4,3,2,1 -,1 -, Date,37,36,35,34,33,32,31,3,29,28 St dev Moran I (1st order) Moran I (dstance) St dev Moran I,25,2,15,1,5 -,5 -,1 -, Date,35,3,25,2,15,1,5 -,5 -,1 AR1 Moran I (1st order) Moran I (dstance) AR1

33 Moran I,25,2,15,1,5 -,5 -,1 -, ,14,12,1,8,6,4,2 St dev Date Moran I (1st order) Moran I (dstance) st dev Moran I,12,1,8,6,4,2 -,2 -, Date,3,25,2,15,1,5 AR1 Moran I (1st order) Moran I (dstance) AR1

34 Moran I,12,1,8,6,4,2 -,2 -, Date,1,95,9,85,8,75,7 St dev Moran I (1st order) Moran I (dstance) st dev,35,3,25,2,15,1 stdev proc stdev unpr stdev clot stdev dur stdev other stdev serv stdev ener stdev alc stdev tob,

35 ,25,2,15,1 stdev proc stdev unpr stdev clot stdev dur stdev other stdev serv stdev ener stdev alc stdev tob,

36 DEPARTMENT OF MATHEMATICAL ECONOMICS AND ECONOMIC ANALYSIS WORKING PAPERS IN ENGLISH 212 / 3 Zsuzsanna Zsbók Balázs Varga: Inflaton Persstence n Hungary: a Spatal Analyss 212 / 2 Zsombor Z. Méder András Smonovts János Vncze: Tax Morale and Tax Evason: Socal Preferences and Bounded Ratonalty 212 / 1 Zsolt Darvas: Real Effectve Exchange Rates for 178 Countres: a New Database 211 / 6 Zsolt Darvas: A Tale of Three Countres: Recovery after Bankng Crses 211 / 5 Zsolt Darvas Jean Psan-Ferry: Europe s Growth Emergency 211 / 4 Zsolt Darvas: Debt Restructurng n the Euro Area: a Necessary but Manageable Evl? 211 / 3 Zsolt Darvas: Exchange Rate Polcy and Economc Growth after the Fnancal Crss n Central and Eastern Europe, publshed n: Eurasan Geography and Economcs, Vol. 52(3), May-June / 2 Zsolt Darvas Valentna Kostyleva: Fscal and Monetary Insttutons n Central, Eastern and South-Eastern European Countres, publshed n: OECD Journal on Budgetng, 11(1) 211 / 1 Zsolt Darvas Jean Psan-Ferry André Sapr: A Comprehensve Approach to the Euro-Area Debt Crss 21 / 6 Zsolt Darvas Jean Psan-Ferry: The Threat of Currency Wars : a European Perspectve 21 / 5 Zsolt Darvas: Beyond the Crss: Prospects for Emergng Europe, publshed n: Comparatve Economc Studes, 53, Aprl / 3 Zsolt Darvas: The Case for Reformng Euro Area Entry Crtera, forthcomng n: Socety and Economy, 32(2), December / 2 Zsolt Darvas: Fscal Federalsm n Crss: Lessons for Europe from the US 21 / 1 Zsolt Darvas Jakob von Wezsäcker: Fnancal Transacton Tax: Small s Beatful 29 / 4 Zsolt Darvas: The Impact of the Crss on Budget Polcy n Central and Eastern Europe, publshed n: OECD Journal on Budgetng, 1(1), / 3 Zsolt Darvas: Monetary Transmsson n three Central European Economes: Evdence from Tme-Varyng Coeffcent Vector Autoregressons 29 / 2 Alan Ahearne Herbert Brücker Zsolt Darvas Jakob von Wezsäcker: Cyclcal dmensons of labour moblty after EU enlargement 28 / 2 Zsolt Darvas: Leveraged Carry Trade Portfolos, publshed n: Journal of Bankng and Fnance, 33(5), May / 1 Zsolt Darvas György Szapáry: Euro Area Enlargement and Euro Adopton Strateges, publshed n: EU Commsson: EMU@1 years 27 / 8 Gábor Benedek Dánel Homolya: Analyss of operatonal rsk of banks catastrophe modellng 27 / 5 Zsolt Darvas Zoltán Schepp: Forecastng Exchange Rates of Major Currences wth Long Maturty Forward Rates All workng papers are avalable through RePEc at

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