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A Structural VAR Approach to Core Inflation in Canada

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Author Info
Sylvain Martel
Abstract

The author constructs a measure of core inflation using a structural vector autoregression containing oil-price growth, output growth, and inflation. This "macro-founded" measure of inflation forecasts total inflation at least as well as other, atheoretical measures.

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File URL: http://www.bankofcanada.ca/en/res/dp/2008/dp08-10.pdf
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Publisher Info
Paper provided by Bank of Canada in its series Discussion Papers with number 08-10.

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Length: 29 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:bca:bocadp:08-10

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Related research
Keywords: Inflation and prices;

Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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This page was last updated on 2009-12-9.

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