Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation
AbstractThis study examines the properties of monthly CPI inflation in G7 countries and the Euro area (aggregate) over the period 1973-2007 using a new iterative decomposition procedure that separates changes in mean, seasonal and dynamic components together with conditional volatility. We uncover mean and seasonality breaks for all countries and, even allowing for these, changes in persistence are indicated for all countries except Canada. Further, while volatility reductions are widespread in the mid- to early 1980s, Canada, France and the US all exhibit increased volatility from 1999 onwards. Of methodological interest, iteration is shown to provide more evidence of persistence breaks and fewer volatility breaks overall compared with the usual approach of sequentially examining changes in the properties of inflation, while application of linear seasonal adjustment also reduces evidence of persistence breaks. Although failure to allow for breaks in mean, seasonal or dynamic components affects conclusions about the existence and dates of volatility breaks, nevertheless, evidence remains of a volatility increase in some countries in 1999.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 109.
Length: 36 pages
Date of creation: 2008
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2008.
"Is Volatility Good for Growth? Evidence from the G7,"
The School of Economics Discussion Paper Series
0804, Economics, The University of Manchester.
- Andreou Elena & Pelloni Alessandra & Sensier Marianne, 2008. "Is volatility good for growth? Evidence from the G7," wp.comunite 0041, Department of Communication, University of Teramo.
- Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2008. "Is Volatility Good for Growth? Evidence from the G7," Centre for Growth and Business Cycle Research Discussion Paper Series 97, Economics, The Univeristy of Manchester.
- Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2008. "Is Volatility Good for Growth? Evidence from the G7," CEIS Research Paper 114, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2013. "Is Volatility Good for Growth? Evidence from the G7," CEIS Research Paper 258, Tor Vergata University, CEIS, revised 08 Jan 2013.
- Jesper Roine & Daniel Waldenström, 2011.
"Common Trends and Shocks to Top Incomes: A Structural Breaks Approach,"
The Review of Economics and Statistics,
MIT Press, vol. 93(3), pages 832-846, August.
- Roine, Jesper & Waldenström, Daniel, 2009. "Common Trends and Shocks to Top Incomes – A Structural Breaks Approach," Working Paper Series 801, Research Institute of Industrial Economics.
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Structural Breaks in the International Transmission of Inflation," Centre for Growth and Business Cycle Research Discussion Paper Series 119, Economics, The Univeristy of Manchester.
- Steffen Henzel & Elisabeth Wieland, 2013. "Synchronization and Changes in International Inflation Uncertainty," CESifo Working Paper Series 4194, CESifo Group Munich.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marianne Sensier).
If references are entirely missing, you can add them using this form.