Time Series Of Monthly And Yearly Inflation Rates And Their Properties

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Time Series Of Monthly And Yearly Inflation Rates And Their Properties

Author Info

Josef Arlt
Milan Bašta

Abstract

Monthly and yearly inflation rates can be understood as rates of dynamics of the basic inflation indicator i.e. the consumer price index. These indicators modify the original inflation information. It is important to analyze the difference of the consumer price index, monthly and yearly inflation rates, from the viewpoint of their frequency content, time lag and deformations. The theory of linear filtration and its representation in the frequency domain is used. Under particular assumptions, in the time series of yearly inflation rate there can be spurious cycles and high-frequency motions. The time series of yearly inflation rate lags behind the time series of instantaneous inflation rate about six months in low frequencies and the time series of monthly inflation rate lags behind the time series of instantaneous inflation rate about half of the month in all frequencies.

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Publisher Info
Article provided by University of Economics, Prague in its journal Politická ekonomie.

Volume (Year): 2008 (2008)
Issue (Month): 4 ()
Pages:
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Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:4:id:652

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Find related papers by JEL classification:
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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