Impact of food inflation on headline inflation in India

Figure 10. Granger causality in the frequency domain

Download 0.7 Mb.

View original pdf

Page	17/25
Date	21.12.2020
Size	0.7 Mb.
	#55490

1 ... 13 14 15 16 17 18 19 20 ... 25

4 Anuradha Patnaik

Figure 11. Granger causality in the frequency domain from headline inflation to core inflation

Figure 10. Granger causality in the frequency domain
from food inflation to headline inflation
0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0
GC(f-hl)
5% significance level omega 0.2 0.4 0.6 0.8 1
1.2 1.4 1.6 1.8 2
2.2 2.4 2.6 2.8 3
Source: Author’s own calculations using data retrieved from the Ministry of Statistics and Programme Implementation.
Available at www.mospi.gov.in/.
Note:
GC, Granger causality.
Figure 11. Granger causality in the frequency domain
from headline inflation to core inflation
1 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0
0.9
GC(hl-c)
1% significance level omega 0.2 0.4 0.6 0.8 1
1.2 1.4 1.6 1.8 2
2.2 2.4 2.6 2.8 3

Asia-Pacific Sustainable Development Journal
Vol. 26, No. 1
104
Step IV Testing the inflation measures for presence of volatility
The inflation measures were tested for presence of volatility using the ARCH-LM
test, the null of no ARCH effects for all the three inflation measures was not rejected
(table 3).

Download 0.7 Mb.

Share with your friends:

1 ... 13 14 15 16 17 18 19 20 ... 25