ANALYSING DYNAMIC CROSS-PRICE DEPENDENCIES WITH A MARKOV-SWITCHING SPATIAL AUTOREGRESSIVE MODEL

• 成果类型: Article
• 署名作者: Iacopini, Matteo; Krisztin, Tamas; Piribauer, Philipp
• 署名单位: Luiss Guido Carli University; International Institute for Applied Systems Analysis (IIASA)
• 刊物名称: ANNALS OF APPLIED STATISTICS
• ISSN/ISSBN: 1932-6157; 1941-7330
• DOI: 10.1214/25-AOAS2105
• 发表日期: 2026-03
• 页码: 110-130
• 关键词: Bayesian spatial autoregressive model; cross-price dependencies; energy price shock; inflation dynamics in Europe; Markov switching; random spatial weights

摘要

This study introduces a novel Markov-switching spatial autoregressive (MS-SAR) model to analyse dynamic cross-price interdependencies within the three-digit subcomponents of the Consumer Price Index (CPI) for 15 European Union countries. By allowing the spatial weight matrix and network strength to evolve over time, our model captures the complex, time-varying nature of economic interdependencies that traditional models often overlook. Our results reveal marked cross-country differences in the propagation of price shocks across different categories, providing valuable insights into the transmission of macroeconomic shocks, such as the recent energy price shock, to inflation dynamics.