IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpma/0409009.html
   My bibliography  Save this paper

Inflationary Dynamics and the Angell-Johnson Proposals

Author

Listed:
  • Thomas M Fullerton Jr

    (University of Texas at El Paso)

  • Richard A Hirth

    (University of Michigan)

  • Mark B Smith

    (University of Pennsylvania)

Abstract

The links between commodity prices, interst rates, wages, and the exchange rate of the U.S. dollar with consumer prices is investigated. An ARIMA transfer function methodology is employed. Sample data are from January 1972 to December 1988. Although model diagnsotics are relatively good, variable lag lengths are uncovered and make the development of a single policy rule difficult. Commodity prices do, however, add incremental information that complements that provided by other inflationary indicators.

Suggested Citation

  • Thomas M Fullerton Jr & Richard A Hirth & Mark B Smith, 2004. "Inflationary Dynamics and the Angell-Johnson Proposals," Macroeconomics 0409009, EconWPA.
  • Handle: RePEc:wpa:wuwpma:0409009
    Note: Type of Document - doc; pages: 14
    as

    Download full text from publisher

    File URL: http://econwpa.repec.org/eps/mac/papers/0409/0409009.pdf
    Download Restriction: no

    File URL: http://econwpa.repec.org/eps/mac/papers/0409/0409009.ps.gz
    Download Restriction: no

    File URL: http://econwpa.repec.org/eps/mac/papers/0409/0409009.doc.gz
    Download Restriction: no

    References listed on IDEAS

    as
    1. Roy H. Webb, 1988. "Commodity prices as predictors of aggregate price change," Economic Review, Federal Reserve Bank of Richmond, issue Nov, pages 3-11.
    2. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
    3. Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
    4. David A. Pierce & Larry D. Haugh, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
    5. William Schwert, G., 1979. "Tests of causality : The message in the innovations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 55-96, January.
    6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    7. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
    8. C. Alan Garner, 1988. "Commodity prices: policy target or information variable?," Research Working Paper 88-10, Federal Reserve Bank of Kansas City.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Thomas M. Fullerton, Jr., 1999. "Inflationary pressure determinants in México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(1), pages 33-51.
    2. Thomas M Fullerton Jr & Eiichi Araki, 2004. "A Theoretical Model of Industrial Economy Inflationary Dynamics," Macroeconomics 0408007, EconWPA.
    3. Thomas M Fullerton Jr & Sylvanus I Ikhide, 2004. "An Econometric Analysis of the Nigerian Consumer Price Index," Development and Comp Systems 0407010, EconWPA.
    4. Thomas M Fullerton Jr & Roberto Tinajero, 2004. "Short-Run Price Dynamics in Mexico," Macroeconomics 0407027, EconWPA.

    More about this item

    Keywords

    Monetary Policy; Commodity Prices; Applied Econometrics;

    JEL classification:

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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpma:0409009. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: http://econwpa.repec.org .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.