Mapping inflation dynamics

CPI inflation is subject to structural changes and exogeneous shocks that can have a significant impact to its dynamic evolution. The observed interaction between the intrinsic side of inflation dynamics and the disturbances fuels a rich spectrum of behaviors. To accommodate the complex outcome of interactions, we propose a methodological strategy combining the non-parametric Recurrence Quantification Analysis (RQA), the GPH fractional integration coefficient d and the Phillips-curve based framework. The empirical findings demonstrate the nonlinear contribution of inflation inertia to the headline inflation dynamics, mainly over the last eight quarters of the sample alongside the occurrence of price shocks