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Modelling UK inflation, 1875-1991

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  • David F. Hendry

    (Economics Department, Oxford University, UK)

Abstract

UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological changes. Inflation is modelled as responding to excess demands from all sectors of the economy: goods and services, factors of production, money, financial assets, foreign exchange, and government deficits. Equilibrium-correction terms are developed for each of these over the sample. Indicator variables and commodity prices capture turbulent years. Variables representative of most theories of inflation matter empirically, yielding an eclectic model inconsistent with any 'single-cause' explanation. Copyright © 2001 John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 16 (2001)
Issue (Month): 3 ()
Pages: 255-275

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Handle: RePEc:jae:japmet:v:16:y:2001:i:3:p:255-275

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Cited by:
  1. Christopher Martin & Michael Arghyrou & Costas Milas, 2004. "Nonlinear inflation dynamics: evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2003 59, Money Macro and Finance Research Group.
  2. Tim Bulman & John Simon, 2003. "Productivity and Inflation," RBA Research Discussion Papers rdp2003-10, Reserve Bank of Australia.
  3. Bowdler, Christopher & Jansen, Eilev S., 2004. "A markup model of inflation for the euro area," Working Paper Series 0306, European Central Bank.
  4. Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012. "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-22, January.
  5. Costas Milas, 2009. "Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model," Oxford Economic Papers, Oxford University Press, vol. 61(1), pages 168-182, January.
  6. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  7. Caporale, Guglielmo Maria & Matousek, Roman & Stewart, Chris, 2012. "Ratings assignments: Lessons from international banks," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1593-1606.
  8. Delatte, Anne-Laure & López-Villavicencio, Antonia, 2012. "Asymmetric exchange rate pass-through: Evidence from major countries," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 833-844.
  9. Neil Ericsson, 2004. "The ET interview: professor David F. Hendry," International Finance Discussion Papers 811, Board of Governors of the Federal Reserve System (U.S.).
  10. Cristopher Spencer & Paul Temple, 2013. "Standards, Learning and Growth in Britain 1901-2009," School of Economics Discussion Papers 0613, School of Economics, University of Surrey.
  11. Gerardo Esquivel & Raúl Razo, 2003. "Fuentes de la inflación en México, 1989-2000: Un análisis multicausal de corrección de errores," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 181-226.

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