Intercountry Differences in the Relationship between Relative Price Variability and Average Prices
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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- Hercowitz, Zvi, 1981.
"Money and the Dispersion of Relative Prices,"
Journal of Political Economy,
University of Chicago Press, vol. 89(2), pages 328-356, April.
- Zvi Hercowitz, 1980. "Money and the Dispersion of Relative Prices," NBER Working Papers 0431, National Bureau of Economic Research, Inc.
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- Franco Peracchi, 1988. "Bounded-Influence Estimators for the Sure Model," UCLA Economics Working Papers 521, UCLA Department of Economics.
- A. R. Pagan & A. D. Hall & P. K. Trivedi, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Oxford University Press, vol. 50(4), pages 585-596.
- Barro, Robert J., 1976. "Rational expectations and the role of monetary policy," Journal of Monetary Economics, Elsevier, vol. 2(1), pages 1-32, January.
- 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 221-247, February. Full references (including those not matched with items on IDEAS)
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