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A SVAR model for estimating core inflation in the Euro zone

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Author Info
Mariano Matilla-García
Abstract

A traditional role of central banks has been to protect the purchasing power of money by keeping a roof on inflation. Recently, several central banks have explicitly assumed an inflation control target. This is the case, among others, of the European Central Bank (ECB) whose monetary policy goal is to keep an annual inflation rate below 2% over a medium-term horizon (ECB, 2001). In practice, inflation is often measured in terms of the Consumer Price Index (CPI). However, the headline inflation rate is not totally under the control of the ECB. In this study core inflation is measured by means of the structural VAR approach, in particular it is based on long-run restrictions over crucial macroeconomic variables: inflation, money and output. Core inflation is estimated and compared with the standard measured inflation.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 3 (February)
Pages: 149-154
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Handle: RePEc:taf:apeclt:v:12:y:2005:i:3:p:149-154

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  1. Bagliano, Fabio C & Golinelli, Roberto & Morana, Claudio, 2002. "Core Inflation in the Euro Area," Applied Economics Letters, Taylor and Francis Journals, vol. 9(6), pages 353-57, May. [Downloadable!] (restricted)
  2. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-44, September. [Downloadable!] (restricted)
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  3. Michael F. Bryan & Stephen G. Cecchetti, 1993. "Measuring Core Inflation," NBER Working Papers 4303, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Diewert, W.E., 1995. "On the Stochastic Approach to Index Numbers," UBC Departmental Archives 95-31, UBC Department of Economics.
  5. Michael F. Bryan & Stephen G. Cecchetti & Rodney L. Wiggins II, 1997. "Efficient inflation estimation," Working Paper 9707, Federal Reserve Bank of Cleveland.
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  6. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155. [Downloadable!]
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  7. Andreas Beyer & Jurgen A. Doornik & David F. Hendry, 2000. "Reconstructing Aggregate Euro-zone Data," Journal of Common Market Studies, Blackwell Publishing, vol. 38(4), pages 613-624, November. [Downloadable!] (restricted)
  8. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. N. Gregory Mankiw, 1994. "Monetary Policy," NBER Books, National Bureau of Economic Research, Inc, number greg94-1.
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