The Recent Performance of the Traditional Measure of Core Inflation in G7 Countries
AbstractIn this paper we undertake an empirical investigation concerning the performance of the traditional measure of core inflation in recent years. We consider the group of G7 countries and explore both the high-frequency and the low-frequency relations between overall inflation and core inflation. We find that the traditional core measure, obtained by subtracting from the overall index those components which exhibit high volatility and which are responsible for the short-run variability of inflation, is a reliable indicator of trend inflation for a group of countries including the USA, Canada and Japan. The innovation accounting shows that for the three countries the transitory shock, i.e. the total inflation shock, has limited persistence and hence there is a relatively quick convergence of overall inflation to its trend component.
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 University of Modena and Reggio E., Dept. of Economics in its series Center for Economic Research (RECent) with number 037.
Length: pages 27
Date of creation: Dec 2009
Date of revision:
Core Inflation Indicator; Structural Cointegrated VARs; Permanent-transitory Decompositions;
Other versions of this item:
- Luciana Lo Bue & Antonio Ribba, 2011. "The Recent Performance of the Traditional Measure of Core Inflation in G7 Countries," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(2), pages 76-96, May.
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-10 (All new papers)
- NEP-CBA-2010-01-10 (Central Banking)
- NEP-MON-2010-01-10 (Monetary Economics)
You can help add them by filling out this form.
If references are entirely missing, you can add them using this form.