Inflationary Dynamics and the Angell-Johnson Proposals
AbstractThe 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 InfoPaper provided by EconWPA in its series Macroeconomics with number 0409009.
Length: 14 pages
Date of creation: 08 Sep 2004
Date of revision:
Note: Type of Document - doc; pages: 14
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Monetary Policy; Commodity Prices; Applied Econometrics;
Find related papers by JEL classification:
- 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-MAC-2004-09-12 (Macroeconomics)
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