Self-Organization and Multifractality in Inflation and Price Systems

Abstract

The analysis of price systems as complex systems is of utmost importance to understand the allocation of resources in the economy based on the interactions between agents. In this paper, the price system of the Uruguayan economy is analyzed using the consumer price index disaggregated at the product level and the general index as inputs. From the analysis of the distribution of the price variations in each period and the general price variations and performing a multifractal analysis, we obtain robust and consistent results in the sense of understanding the price variations as coming from complex systems. Main results indicate that the hypothesis of a power-law as the distribution of the analyzed series is not rejected, as well as the persistent behavior of price variations is modified by large fluctuations in the system.