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Expense items: test on items generating inflation

Author

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  • Hassen, Ben Naceur

Abstract

This study aims to spot the inflation – generating expenses. The expenses items are represented by series of prices statistical indexes. We are going to determine the series of gaps on these prices indexes. We will afterwards study the data- generating process in the context of the ARCH model and the V-GARCH model. We will find out the following items (food, clothes and transports) as inflation- generating items.

Suggested Citation

  • Hassen, Ben Naceur, 2014. "Expense items: test on items generating inflation," MPRA Paper 78977, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:78977
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    References listed on IDEAS

    as
    1. Bakhshi, Hasan, 2002. "Inflation and relative price variability," Economics Letters, Elsevier, vol. 76(1), pages 27-33, June.
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    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    6. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
    7. David Fielding & Paul Mizen, 2000. "Relative Price Variability and Inflation in Europe," Economica, London School of Economics and Political Science, vol. 67(265), pages 57-78, February.
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    More about this item

    Keywords

    White noise; ARCH model; V-GARCH process; generator; inflation; statistical index;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

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