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Inflationary Dynamics and the Angell-Johnson Proposals

Author

Listed:
  • 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.

Suggested Citation

  • Thomas M Fullerton Jr & Richard A Hirth & Mark B Smith, 2004. "Inflationary Dynamics and the Angell-Johnson Proposals," Macroeconomics 0409009, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpma:0409009
    Note: Type of Document - doc; pages: 14
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    References listed on IDEAS

    as
    1. Roy H. Webb, 1988. "Commodity prices as predictors of aggregate price change," Economic Review, Federal Reserve Bank of Richmond, vol. 74(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. 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.
    4. James M. Boughton & William H. Branson, 1988. "Commodity Prices as a Leading Indicator of Inflation," NBER Working Papers 2750, National Bureau of Economic Research, Inc.
    5. Larry D. Haugh & David A. Pierce, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
    6. 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.
    7. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    8. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
    9. C. Alan Garner, 1988. "Commodity prices: policy target or information variable?," Research Working Paper 88-10, Federal Reserve Bank of Kansas City.
    10. International Monetary Fund, 1988. "Commodity Prices As a Leading Indicator of Inflation," IMF Working Papers 1988/087, International Monetary Fund.
    11. 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.
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    Cited by:

    1. Thomas M Fullerton Jr & Sylvanus I Ikhide, 2004. "An Econometric Analysis of the Nigerian Consumer Price Index," Development and Comp Systems 0407010, University Library of Munich, Germany.
    2. Thomas M. Fullerton, Jr., 1999. "Inflationary pressure determinants in México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(1), pages 33-51.
    3. Thomas M Fullerton Jr & Eiichi Araki, 2004. "A Theoretical Model of Industrial Economy Inflationary Dynamics," Macroeconomics 0408007, University Library of Munich, Germany.
    4. Thomas M Fullerton Jr & Roberto Tinajero, 2004. "Short-Run Price Dynamics in Mexico," Macroeconomics 0407027, University Library of Munich, Germany.

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    More about this item

    Keywords

    Monetary Policy; Commodity Prices; Applied Econometrics;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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