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Inflation and Relative Price Variability: Reinstating Parks' Results

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  • Jaramillo, Carlos Felipe
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    Abstract

    This paper revisits Parks' seminal work on the time series relationship between inflation and relative price variability. The results reported show that a significant positive association is obtained allowing for an asymmetrical response of relative prices to episodes of positive and negative inflation. This finding is maintained after excluding oil shock years, extending Park's original sample to 1996, using an alternative data set and allowing for a higher degree of disaggregation.

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    Bibliographic Info

    Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

    Volume (Year): 31 (1999)
    Issue (Month): 3 (August)
    Pages: 375-85

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    Handle: RePEc:mcb:jmoncb:v:31:y:1999:i:3:p:375-85

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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    Cited by:
    1. Carlos Usabiaga. & María Ãngeles Caraballo & Carlos Dabús, 2004. "Relative Prices and Inflation: New Evidence from Different Inflationary Contexts," Econometric Society 2004 Latin American Meetings 338, Econometric Society.
    2. Becker, Sascha S. & Nautz, Dieter, 2012. "Inflation, price dispersion and market integration through the lens of a monetary search model," European Economic Review, Elsevier, vol. 56(3), pages 624-634.
    3. Carlos Felipe Jaramillo & Daniel Cerquera, . "Price Behavior in an Inflationary Environment: Evidence from Supermarket Data," Borradores de Economia 138, Banco de la Republica de Colombia.
    4. Caglayan, Mustafa & Filiztekin, Alpay & Rauh, Michael T., 2008. "Inflation, price dispersion, and market structure," European Economic Review, Elsevier, vol. 52(7), pages 1187-1208, October.
    5. Choi, Chi-Young & Kim, Young Se, 2010. "Is there any asymmetry in the effect of inflation on relative price variability?," Economics Letters, Elsevier, vol. 108(2), pages 233-236, August.
    6. Alexander Bick & Dieter Nautz, 2008. "Inflation Thresholds and Relative Price Variability: Evidence from U.S. Cities," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 61-76, September.
    7. Dieter Nautz & Juliane Scharff, 2012. "Inflation and relative price variability in the euro area: evidence from a panel threshold model," Applied Economics, Taylor & Francis Journals, vol. 44(4), pages 449-460, February.
    8. Mustafa Caglayan & Alpay Filiztekin & Michael T. Rauh, 2003. "Market Structure, Inflation, and Price Dispersion," Research Papers 2003_03, University of Liverpool Management School, revised 28 Apr 2004.
    9. Francis Vitek, 2002. "An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth," Working Papers 02-39, Bank of Canada.
    10. Pablo Druck & Alexander Plekhanov & Mario Dehesa, 2007. "Relative Price Stability, Creditor Rights, and Financial Deepening," IMF Working Papers 07/139, International Monetary Fund.
    11. Rather, Sartaj Rasool & Durai, S. Raja Sethu & Ramachandran, M., 2014. "Inflation and relative price variability: Evidence for India," Journal of Asian Economics, Elsevier, vol. 30(C), pages 32-41.

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