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Nonlinear inflation dynamics: evidence from the UK

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  • Christopher Martin
  • Michael Arghyrou
  • Costas Milas

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Bibliographic Info

Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2003 with number 59.

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Date of creation: 27 Sep 2004
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Handle: RePEc:mmf:mmfc03:59

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Web page: http://www.essex.ac.uk/afm/mmf/index.html

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References

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  1. van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers EI 9734/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Kara, Amit & Nelson, Edward, 2003. "The Exchange Rate and Inflation in the UK," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3783, C.E.P.R. Discussion Papers.
  3. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
  4. Alogoskoufis, George S & Smith, Ron, 1991. "The Phillips Curve, the Persistence of Inflation, and the Lucas Critique: Evidence from Exchange-Rate Regimes," American Economic Review, American Economic Association, American Economic Association, vol. 81(5), pages 1254-75, December.
  5. Jordi Gali & Mark Gertler, 2000. "Inflation Dynamics: A Structural Econometric Analysis," NBER Working Papers 7551, National Bureau of Economic Research, Inc.
  6. Batini, Nicoletta & Nelson, Edward, 2001. "The Lag from Monetary Policy Actions to Inflation: Friedman Revisited," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(3), pages 381-400, Winter.
  7. Dolado, Juan J. & Maria-Dolores, Ramon & Naveira, Manuel, 2005. "Are monetary-policy reaction functions asymmetric?: The role of nonlinearity in the Phillips curve," European Economic Review, Elsevier, Elsevier, vol. 49(2), pages 485-503, February.
  8. Ravi Balakrishnan & J David Lopez-Salido, 2002. "Understanding UK inflation: the role of openness," Bank of England working papers 164, Bank of England.
  9. Alogoskoufis, George S, 1990. "Traded Goods, Competitiveness and Aggregate Fluctuations in the United Kingdom," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 100(399), pages 141-63, March.
  10. Tinsley, P A, 2002. "Rational Error Correction," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 19(2), pages 197-225, April.
  11. Martin, Christopher, 1997. "Price Information in an Open Economy: Theory and Evidence for the United Kingdom, 1951-1991," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(444), pages 1391-1404, September.
  12. Nickell, Stephen, 1985. "Error Correction, Partial Adjustment and All That: An Expository Note," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 47(2), pages 119-29, May.
  13. Nadir Ocal & Denise R. Osborn, 2000. "Business cycle non-linearities in UK consumption and production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(1), pages 27-43.
  14. Michael P. Clements & Marianne Sensier, 2003. "Asymmetric output-gap effects in Phillips Curve and mark-up pricing models: Evidence for the US and the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(4), pages 359-374, 09.
  15. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 59-75, September.
  16. Jansen, Eilev S. & Teräsvirta, Timo, 1995. "Testing Parameter Constancy and super Exogeneity in Econometric Equations," Working Paper Series in Economics and Finance 53, Stockholm School of Economics.
  17. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 211-228, June.
  18. Roberts, John M, 1995. "New Keynesian Economics and the Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 27(4), pages 975-84, November.
  19. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.
  20. M Sensier & D R Osborn & N Öcal, 2002. "Asymmetric Interest Rate Effects for the UK Real Economy," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 10, Economics, The Univeristy of Manchester.
  21. Arden, R. & Holly, S. & Turner, P., 1997. "Asymmetric Adjustment Costs, Asymmetric Pricing and Employment: Evidence from the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9717, Faculty of Economics, University of Cambridge.
  22. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  23. Ilian Mihov, 2001. "Monetary policy implementation and transmission in the European Monetary Union," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 16(33), pages 369-406, October.
  24. John Bennett & Manfredi M. A. La Manna, 2001. "Reversing the Keynesian Asymmetry," American Economic Review, American Economic Association, American Economic Association, vol. 91(5), pages 1556-1563, December.
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Cited by:
  1. Jihene Bousrih, 2012. "Degree of openness and inflation targeting policy: model of a small open economy," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 4(3), pages 232-246, August.

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