TY - JOUR
T1 - The impact of political instability on inflation volatility
T2 - The case of the Middle East and North Africa region
AU - Ghanayem, Afnan
AU - Downing, Gareth
AU - Sawalha, Murad
N1 - Publisher Copyright:
© 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
PY - 2023/6/1
Y1 - 2023/6/1
N2 - This study examines the impact of political instability on inflation volatility in the Middle East and North Africa (MENA) region. First, it analyzes the multidimensionality of political instability by adopting a factor analysis technique and finds five dimensions of political instability. Next, it adopts GARCH, EGARCH, and TGARCH volatility specifications to model country-specific monthly inflation data. Finally, it examines the impact of the five dimensions of political instability on GARCH conditional inflation volatility by employing the dynamic Generalized Method of Moments (GMM) panels. This paper reports both positive and negative effects of political instability on inflation volatility in the MENA region. Specifically, we show that the instability of the political regime dimension significantly increases inflation volatility, while the dimension of government instability significantly reduces inflation volatility. Our results hold for a set of robustness checks, including the MIDAS weighted conditional inflation volatility measures.
AB - This study examines the impact of political instability on inflation volatility in the Middle East and North Africa (MENA) region. First, it analyzes the multidimensionality of political instability by adopting a factor analysis technique and finds five dimensions of political instability. Next, it adopts GARCH, EGARCH, and TGARCH volatility specifications to model country-specific monthly inflation data. Finally, it examines the impact of the five dimensions of political instability on GARCH conditional inflation volatility by employing the dynamic Generalized Method of Moments (GMM) panels. This paper reports both positive and negative effects of political instability on inflation volatility in the MENA region. Specifically, we show that the instability of the political regime dimension significantly increases inflation volatility, while the dimension of government instability significantly reduces inflation volatility. Our results hold for a set of robustness checks, including the MIDAS weighted conditional inflation volatility measures.
KW - GMM
KW - inflation volatility
KW - MENA
KW - Political instability
UR - http://www.scopus.com/inward/record.url?scp=85160637898&partnerID=8YFLogxK
U2 - 10.1080/23322039.2023.2213016
DO - 10.1080/23322039.2023.2213016
M3 - Article
AN - SCOPUS:85160637898
VL - 11
JO - Cogent Economics and Finance
JF - Cogent Economics and Finance
SN - 2332-2039
IS - 1
M1 - 2213016
ER -
