A Bayesian Markov-switching SAR model for time-varying cross-price spillovers

• Tác giả: Christian Glocker, Matteo Iacopini, Tamás Krisztin, Philipp Piribauer
• Ngôn ngữ: eng
• Ký hiệu phân loại: 332.46 Monetary policy
• Thông tin xuất bản: 2023
• Bộ sưu tập: Metadata
• ID: 198378

Tóm tắt

The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the identification of regime-specific connectivity patterns and strengths and the study of the spatiotemporal propagation of shocks in a system with a time-varying spatial multiplier matrix. The proposed model is applied to disaggregated CPI data from 15 EU countries to examine cross-price dependencies. The analysis identifies distinct connectivity structures and spatial weights across the states, which capture shifts in consumer behaviour, with marked cross-country differences in the spillover from one price category to another.