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An Alternative Core Inflation Measure

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  • Michael Pedersen

Abstract

We combine the ideas of the trimmed mean and the Edgeworth index to construct an alternative measure of core inflation named 'Trim of Most Volatile Components (TMVC)'. At each point of time, this measure trims away the components of the price index that have been most volatile in the recent past. Statistical tests indicate that neither the trimmed mean nor the Edgeworth index dominates the TMVC in terms of tracking trend inflation. Copyright 2009 The Author. Journal Compilation 2009 Verein für Socialpolitik and Blackwell Publishing Ltd. 2009.

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Bibliographic Info

Article provided by Verein für Socialpolitik in its journal German Economic Review.

Volume (Year): 10 (2009)
Issue (Month): (05)
Pages: 139-164

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Handle: RePEc:bla:germec:v:10:y:2009:i::p:139-164

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References

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  1. Mark A. Wynne, 1999. "Core inflation: a review of some conceptual issues," Working Papers 9903, Federal Reserve Bank of Dallas.
  2. Michael Pedersen, 2009. "An Alternative Core Inflation Measure," German Economic Review, Verein für Socialpolitik, vol. 10, pages 139-164, 05.
  3. Michael F. Bryan & Stephen G. Cecchetti & Rodney L. Wiggins II, 1997. "Efficient Inflation Estimation," NBER Working Papers 6183, National Bureau of Economic Research, Inc.
  4. Hogan, Seamus & Marianne Johnson & Thérèse Laflèche, 2001. "Core Inflation," Technical Reports 89, Bank of Canada.
  5. Juan-Luis Vega & Mark A. Wynne, 2002. "A first assessment of some measures of core inflation for the euro area," Working Papers 0205, Federal Reserve Bank of Dallas.
  6. Michael F. Bryan & Stephen G. Cecchetti, 1993. "Measuring Core Inflation," NBER Working Papers 4303, National Bureau of Economic Research, Inc.
  7. Smith, Julie K, 2004. "Weighted Median Inflation: Is This Core Inflation?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 253-63, April.
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Cited by:
  1. Michael Pedersen, 2009. "An Alternative Core Inflation Measure," German Economic Review, Verein für Socialpolitik, vol. 10, pages 139-164, 05.
  2. Felipe Córdova & María Carolina Grünwald & Michael Pedersen, 2008. "Alternative Measures of Core Inflation in Chile," Working Papers Central Bank of Chile 471, Central Bank of Chile.
  3. Terence C. Mills, 2013. "Constructing U.K. Core Inflation," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 32-52, April.
  4. Alan K. Detmeister, 2011. "The usefulness of core PCE inflation measures," Finance and Economics Discussion Series 2011-56, Board of Governors of the Federal Reserve System (U.S.).
  5. Alan K. Detmeister, 2012. "What should core inflation exclude?," Finance and Economics Discussion Series 2012-43, Board of Governors of the Federal Reserve System (U.S.).

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