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Fast micro and slow macro: can aggregation explain the persistence of inflation?

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  • Filippo Altissimo
  • Benoit Mojon
  • Paolo Zaffaroni

Abstract

An aggregation exercise is proposed that aims at investigating whether the fast average adjustment of the disaggregate inflation series of the euro area CPI translates into the slow adjustment of euro area aggregate inflation. We first estimate a dynamic factor model for 404 inflation sub-indices of the euro area CPI. This allows to decompose the dynamics of inflation sub-indices in two parts: one due to a common

Suggested Citation

  • Filippo Altissimo & Benoit Mojon & Paolo Zaffaroni, 2007. "Fast micro and slow macro: can aggregation explain the persistence of inflation?," Working Paper Series WP-07-02, Federal Reserve Bank of Chicago.
  • Handle: RePEc:fip:fedhwp:wp-07-02
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    More about this item

    Keywords

    Inflation (Finance); Consumer price indexes; Euro;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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