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Časové řady měsíční a roční míry inflace a jejich vlastnosti
[Time series of monthly and yearly inflation rates and their properties]

Author

Listed:
  • Josef Arlt
  • Milan Bašta

Abstract

Monthly and yearly inflation rates can be understood as rates of dynamics of the basic inflation indicator i.e. the consumer price index. These indicators modify the original inflation information. It is important to analyze the difference of the consumer price index, monthly and yearly inflation rates, from the viewpoint of their frequency content, time lag and deformations. The theory of linear filtration and its representation in the frequency domain is used. Under particular assumptions, in the time series of yearly inflation rate there can be spurious cycles and high-frequency motions. The time series of yearly inflation rate lags behind the time series of instantaneous inflation rate about six months in low frequencies and the time series of monthly inflation rate lags behind the time series of instantaneous inflation rate about half of the month in all frequencies.

Suggested Citation

  • Josef Arlt & Milan Bašta, 2008. "Časové řady měsíční a roční míry inflace a jejich vlastnosti [Time series of monthly and yearly inflation rates and their properties]," Politická ekonomie, Prague University of Economics and Business, vol. 2008(4), pages 536-556.
  • Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:4:id:652:p:536-556
    DOI: 10.18267/j.polek.652
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    Citations

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    Cited by:

    1. Josef Arlt & Martin Mandel, 2014. "The Reaction Function of Three Central Banks of Visegrad Group," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(3), pages 269-289.

    More about this item

    Keywords

    consumer price index; inflation rate; linear filtration; frequency analysis; spectrum; phase lag;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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