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The Distribution of Consumer Price Changes in the United Kingdom

Author

Listed:
  • Mizon, Grayham E
  • Safford, J Claire
  • Thomas, Stephen H

Abstract

This paper rejects the hypothesis that relative commodity price changes are normally distributed using monthly U.K. data from 1962 to 1983. The presence of skewness in the distribution of price changes across commodities suggest that the asymmetric price response hypothesis may be a good description of the relation between the moments of the distribution of price changes. The authors use Granger causality tests to investigate this hypothesis, but it is not supported by the data. They also examine the major time-series features of the individual price series. Copyright 1990 by The London School of Economics and Political Science.

Suggested Citation

  • Mizon, Grayham E & Safford, J Claire & Thomas, Stephen H, 1990. "The Distribution of Consumer Price Changes in the United Kingdom," Economica, London School of Economics and Political Science, vol. 57(226), pages 249-262, May.
  • Handle: RePEc:bla:econom:v:57:y:1990:i:226:p:249-62
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    Cited by:

    1. Carlos Felipe Jaramillo, 1998. "Improving the Measurement of Core Inflation in Colombia Using Asymmetric Trimmed Means," Borradores de Economia 091, Banco de la Republica de Colombia.
    2. Laurence Ball & N. Gregory Mankiw, 1995. "Relative-Price Changes as Aggregate Supply Shocks," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 161-193.
    3. Almeida, Heitor & Bonomo, Marco, 2002. "Optimal state-dependent rules, credibility, and inflation inertia," Journal of Monetary Economics, Elsevier, vol. 49(7), pages 1317-1336, October.
    4. Constantina Kottaridi & Diego Méndez-Carbajo & Dimitrios D. Thomakos, 2007. "Inflation Dynamics and the Cross-Sectional Distribution of Prices in the E.U. Periphery," Working Paper series 43_07, Rimini Centre for Economic Analysis.
    5. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
    6. Charles Harvie & Hyeon-Seung Huh, 2007. "Uncertainty Surrounding The U.S. NAIRU Estimates Of Estrella And Mishkin(1999)," Korean Economic Review, Korean Economic Association, vol. 23, pages 49-63.
    7. repec:rim:rimwps:43-07 is not listed on IDEAS
    8. Carlos Felipe Jaramillo & Daniel Cerquera, 1999. "Price Behavior in an Inflationary Environment: Evidence from Supermarket Data," Borradores de Economia 138, Banco de la Republica de Colombia.

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