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A Structural VAR Approach to Core Inflation in Canada

Author

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  • Sylvain Martel

Abstract

The author constructs a measure of core inflation using a structural vector autoregression containing oil-price growth, output growth, and inflation. This "macro-founded" measure of inflation forecasts total inflation at least as well as other, atheoretical measures.

Suggested Citation

  • Sylvain Martel, 2008. "A Structural VAR Approach to Core Inflation in Canada," Discussion Papers 08-10, Bank of Canada.
    • Handle: RePEc:bca:bocadp:08-10
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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp08-10.pdf
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    Citations

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    Cited by:

    1. Imran H. Shah & Ian Corrick & Abdul Saboor, 2018. "How should Central Banks Respond to Non-neutral Inflation Expectations?," Open Economies Review, Springer, vol. 29(2), pages 321-351, April.
    2. Sigal Ribon, 2009. "Core Inflation Indices for Israel," Bank of Israel Working Papers 2009.08, Bank of Israel.
    3. Chrigui Zouhair & Boujelbene Younes, 2009. "The Opportunities for Adopting Inflation Targeting in Tunisia: a Cointegration Study and Transmission Channels of Monetary Policy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 16(3), pages 671-692, October.

    More about this item

    Keywords

    Inflation and prices;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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