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Funciones de transferencia simultáneas del índice de precios al consumo de bienes elaborados no energéticos

Author

Listed:
  • María de los Llanos Matea

    (Banco de España)

Abstract

This document presents a multivariate transfer function model for two components of CPI, the processed food and non-energy industrial goods, where the component of consumption goods of industrial price index (i.e. wholesale prices) is used as a leading indicator. We find that inflation rates of both index of CPI are explained by the inflation rate of wholesale prices. For both components of the CPI it is accepted that elasticities in the long term to the consumption goods of industrial prices index are the unit, at the same time as a variation of this index takes three months to fully assimilate in consumer prices.

Suggested Citation

  • María de los Llanos Matea, 1989. "Funciones de transferencia simultáneas del índice de precios al consumo de bienes elaborados no energéticos," Working Papers 8901, Banco de España.
    • Handle: RePEc:bde:wpaper:8901
    as

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    More about this item

    Keywords

    CPI; multivariate transfer function model; forecasting;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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