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Performance of core inflation measures

  • C.K. Folkertsma
  • K. Hubrich

This paper assesses the performance of core inflation measures based on the structural VAR approach. Since core or monetary inflation is not directly observable, we develop a monetary general equilibrium model that fits real aggregated European data and use this model to generate time series for headline as well as core inflation. For five different schemes which attempt to identify core inflation within a VAR framework it is investigated whether the estimated core inflation series recover the true series sufficiently precise in order to be useful for monetary policy.

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File URL: http://www.dnb.nl/binaries/sr063_tcm46-146840.pdf
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Paper provided by Netherlands Central Bank in its series DNB Staff Reports (discontinued) with number 63.

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Length: 55 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:dnb:staffs:63
Contact details of provider: Postal: Postbus 98, 1000 AB Amsterdam
Web page: http://www.dnb.nl/en/

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  40. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  41. C. K. Folkertsma, 2000. "Liquidity effects and the welfare costs of inflation in an endogenous growth model," WO Research Memoranda (discontinued) 607, Netherlands Central Bank, Research Department.
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  43. repec:cup:etheor:v:11:y:1995:i:5:p:1015-32 is not listed on IDEAS
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