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Intercountry Differences in the Relationship between Relative Price Variability and Average Prices

  • Mick Silver
  • Christos Ioannidis

This paper provides new evidence on the relationship between relative price variability and inflation. The model uses a consistently defined data set for nine European countries. It benefits from the inclusion and testing of the effects of macroeconomic variables and the incorporation into the measures of inflation and dispersion adjustments for timeliness, appropriate formulas, and proximity. The general findings of an effect on relative price variability by the macroeconomic environment and negative coefficients on unexpected inflation are supported by their occurrence in models estimated by seemingly unrelated regression and a robust systems estimator.

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Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 109 (2001)
Issue (Month): 2 (April)
Pages: 355-374

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Handle: RePEc:ucp:jpolec:v:109:y:2001:i:2:p:355-374
Contact details of provider: Web page: http://www.journals.uchicago.edu/JPE/

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  1. Zvi Hercowitz, 1980. "Money and the Dispersion of Relative Prices," NBER Working Papers 0431, National Bureau of Economic Research, Inc.
  2. Peracchi, Franco, 1991. "Bounded-influence estimators for the SURE model," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 119-134.
  3. Buck, Andrew J., 1990. "Inflation and price change variability: Some new evidence from old data," Journal of Macroeconomics, Elsevier, vol. 12(3), pages 415-426.
  4. Pagan, A R & Hall, A D & Trivedi, P K, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Wiley Blackwell, vol. 50(4), pages 585-96, October.
  5. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  6. Barro, Robert J., 1976. "Rational expectations and the role of monetary policy," Journal of Monetary Economics, Elsevier, vol. 2(1), pages 1-32, January.
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