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Inflation and the Skewness of the Distribution of Relative Price Changes: Empirical Evidence for Germany / Inflation und die Schiefe der Verteilung relativer Preisänderungen: Empirische Evidenz für Deutschland

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  • Döpke Jörg
  • Pierdzioch Christian

    (Institute of World Economics, Düsternbrooker Weg 120, D-24100 Kiel)

Abstract

The paper uses German annual data covering the period 1969-2000 to present evidence on the link between aggregate inflation and the skewness of the distribution of relative price changes. Our empirical results are mixed. Our regression-based analyses suggest that the skewness of the distribution of relative price changes may be an explanatory variable for the inflation rate. Our empirical evidence in favor of the hypothesis that the skewness measure may help to explain shifts in the Phillips curve is somewhat weaker. Moreover, a structural vector autoregression reveals that the skewness may help to explain the dynamics of real output. At the same time, however, demand shocks seem to explain a non-negligible proportion of the variation of the skewness.

Suggested Citation

  • Döpke Jörg & Pierdzioch Christian, 2003. "Inflation and the Skewness of the Distribution of Relative Price Changes: Empirical Evidence for Germany / Inflation und die Schiefe der Verteilung relativer Preisänderungen: Empirische Evidenz für De," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 223(2), pages 136-158, April.
    • Handle: RePEc:jns:jbstat:v:223:y:2003:i:2:p:136-158
    DOI: 10.1515/jbnst-2003-0203
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    2. M. Angeles Caraballo & Carlos Usabiaga, 2009. "The relevance of supply shocks for inflation: the spanish case," Applied Economics, Taylor & Francis Journals, vol. 41(6), pages 753-764.
    3. Mª Ángeles Caraballo Pou & Carlos Dabús, 2005. "Nominal rigidities, relative prices and skewness," Economic Working Papers at Centro de Estudios Andaluces E2005/17, Centro de Estudios Andaluces.
    4. Carlos Usabiaga & María à ngeles Caraballo, 2004. "Inflation and Nominal Rigidities in Spanish Regions: The Ball and Mankiw Approach," ERSA conference papers ersa04p12, European Regional Science Association.
    5. Caraballo Pou, M. Angeles & Dabus, Carlos, 2008. "Nominal rigidities, skewness and inflation regimes," Research in Economics, Elsevier, vol. 62(1), pages 16-33, March.
    6. Maria A. Caraballo & Carlos Usabiaga, 2006. "Inflation and Supply Shocks in Spain: A Regional Approach," ERSA conference papers ersa06p335, European Regional Science Association.
    7. Hayo, Bernd & Ono, Hiroyuki, 2015. "Explaining inflation in the period of quantitative easing in Japan: Relative-price changes, aggregate demand, and monetary policy," Journal of Asian Economics, Elsevier, vol. 36(C), pages 72-85.

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