A Factorial Decomposition Of Inflation In Peru, An Alternative Measure Of Core Inflation
A dynamic factorial decomposition model of inflation is estimated using Peruvian monthly data for 1995:01-2008:07. This model allows identification of changes in three relevant ináation components: idiosyncratic relative prices, aggregate relative prices, and absolute prices. Furthermore, following Reis and Watson (2007), the model allows measuring pure inflation as the common factor in the inflation rate that has a proportionate effect to all prices and that is not correlated with relative price changes at any period of time. This pure inflation estimate relates closely to standard measures of core inflation. Results are robust to different lag structures and various stochastic assumptions on the estimated factors.
|Date of creation:||2011|
|Contact details of provider:|| Postal: Av. Universitaria 1801, San Miguel, Lima, Perú|
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
Web page: http://departamento.pucp.edu.pe/economia/
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- Jean Boivin & Marc P. Giannoni & Ilian Mihov, 2009.
"Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data,"
American Economic Review,
American Economic Association, vol. 99(1), pages 350-384, March.
- Boivin, Jean & Giannoni, Marc P. & Mihov, Ilian, 2006. "Sticky prices and monetary policy: Evidence from disaggregated US data," CFS Working Paper Series 2007/14, Center for Financial Studies (CFS).
- Boivin, Jean & Giannoni, Marc & Mihov, Ilian, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data," CEPR Discussion Papers 6101, C.E.P.R. Discussion Papers.
- Jean Boivin & Marc Giannoni & Ilian Mihov, 2007. "Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data," NBER Working Papers 12824, National Bureau of Economic Research, Inc.
- Altissimo, Filippo & Mojon, Benoit & Zaffaroni, Paolo, 2009. "Can aggregation explain the persistence of inflation?," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 231-241, March.
- Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000.
"The Generalized Dynamic-Factor Model: Identification And Estimation,"
The Review of Economics and Statistics,
MIT Press, vol. 82(4), pages 540-554, November.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
- Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
- Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
- Cristadoro, Riccardo & Forni, Mario & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "A Core Inflation Index for the Euro Area," CEPR Discussion Papers 3097, C.E.P.R. Discussion Papers.
- Marlene Amstad & Simon M. Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.
- Michal Brzoza-Brzezina & Jacek Kotlowski, 2009. "Estimating pure inflation in the Polish economy," Working Papers 37, Department of Applied Econometrics, Warsaw School of Economics. Full references (including those not matched with items on IDEAS)
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