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Inflationary Dynamics and the Angell-Johnson Proposals

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Author Info

  • Thomas M Fullerton Jr

    (University of Texas at El Paso)

  • Richard A Hirth

    (University of Michigan)

  • Mark B Smith

    (University of Pennsylvania)

Abstract

The links between commodity prices, interst rates, wages, and the exchange rate of the U.S. dollar with consumer prices is investigated. An ARIMA transfer function methodology is employed. Sample data are from January 1972 to December 1988. Although model diagnsotics are relatively good, variable lag lengths are uncovered and make the development of a single policy rule difficult. Commodity prices do, however, add incremental information that complements that provided by other inflationary indicators.

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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0409009.

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Length: 14 pages
Date of creation: 08 Sep 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0409009

Note: Type of Document - doc; pages: 14
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Web page: http://128.118.178.162

Related research

Keywords: Monetary Policy; Commodity Prices; Applied Econometrics;

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References

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  1. Roy H. Webb, 1988. "Commodity prices as predictors of aggregate price change," Economic Review, Federal Reserve Bank of Richmond, issue Nov, pages 3-11.
  2. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
  3. C. Alan Garner, 1988. "Commodity prices: policy target or information variable?," Research Working Paper 88-10, Federal Reserve Bank of Kansas City.
  4. Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
  5. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
  6. 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.
  7. David A. Pierce & Larry D. Haugh, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
  8. William Schwert, G., 1979. "Tests of causality : The message in the innovations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 55-96, January.
  9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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Citations

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Cited by:
  1. Thomas M Fullerton Jr & Roberto Tinajero, 2004. "Short-Run Price Dynamics in Mexico," Macroeconomics 0407027, EconWPA.
  2. Thomas M Fullerton Jr & Sylvanus I Ikhide, 2004. "An Econometric Analysis of the Nigerian Consumer Price Index," Development and Comp Systems 0407010, EconWPA.
  3. Thomas M Fullerton Jr & Eiichi Araki, 2004. "A Theoretical Model of Industrial Economy Inflationary Dynamics," Macroeconomics 0408007, EconWPA.
  4. Thomas M Fullerton Jr & Cuauhtemoc Calderon, 2004. "Inflationary Pressure Determinants in Mexico," Macroeconomics 0407030, EconWPA.

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