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Inflationary Dynamics and the Angell-Johnson Proposals

  • Thomas M Fullerton Jr

    (University of Texas at El Paso)

  • Richard A Hirth

    (University of Michigan)

  • Mark B Smith

    (University of Pennsylvania)

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.

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Paper provided by EconWPA in its series Macroeconomics with number 0409009.

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Length: 14 pages
Date of creation: 08 Sep 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0409009
Note: Type of Document - doc; pages: 14
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
  2. 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.).
  3. Roy H. Webb, 1988. "Commodity prices as predictors of aggregate price change," Economic Review, Federal Reserve Bank of Richmond, issue Nov, pages 3-11.
  4. 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.
  5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  6. ZELLNER, Arnold & PALM, Franz, . "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP 173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. 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.
  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.
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