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Cross-Sectional and Longitudinal Inflation Asymmetries

  • Randal J. Verbrugge

    (VPI&SU)

This paper re-examines evidence relating mean inflation to cross- sectional inflation asymmetry, and investigates longitudinal asymmetry in disaggregated price series. The asymmetry test used possesses two important characteristics: it has high power, and it is not dominated by outliers. In contrast to Bryan and Cecchetti (1996), the results here suggest that there does exist significant positive correlation between mean inflation and cross-sectional inflation asymmetry. However, the explanatory power of median inflation is small. Longitudinal inflation asymmetry is evident in almost all the price series investigated here, regardless of frequency. This finding is intriguing, as neither money nor output growth is asymmetric.

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File URL: http://128.118.178.162/eps/mac/papers/9809/9809018.pdf
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Paper provided by EconWPA in its series Macroeconomics with number 9809018.

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Length: 17 pages
Date of creation: 30 Sep 1998
Date of revision:
Handle: RePEc:wpa:wuwpma:9809018
Note: Type of Document - pdf; prepared on IBM PC; pages: 17; figures: included
Contact details of provider: Web page: http://128.118.178.162

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  1. Michael F. Bryan & Stephen G. Cecchetti, 1999. "Inflation And The Distribution Of Price Changes," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 188-196, May.
  2. Nathan S. Balke & Mark A. Wynne, 1996. "Supply shocks and the distribution of price changes," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 10-18.
  3. Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
  4. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA.
  5. Rothman, P, 1992. "The Comparative Power of the TR Test against Simple Threshold Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S187-95, Suppl. De.
  6. Sichel, D.E., 1988. "Business Cycle Asymmetry: A Deeper Look," Papers 85, Princeton, Department of Economics - Financial Research Center.
  7. Domberger, Simon, 1987. "Relative Price Variability and Inflation: A Disaggregated Analysis," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 547-66, June.
  8. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
  9. Ball, L. & Mankiw, G.H., 1992. "Relative-Price Change as Aggregate Supply Shocks," Harvard Institute of Economic Research Working Papers 1609, Harvard - Institute of Economic Research.
  10. Cukierman, Alex, 1978. "The Relationship Between Relative Prices and the General Price Level: A Suggested Interpretation," Working Papers 78-11, C.V. Starr Center for Applied Economics, New York University.
  11. repec:cup:cbooks:9780521471411 is not listed on IDEAS
  12. Ramsey, J.B. & Rothman, P., 1993. "Time Irreversibility and Business Cycle Asymmetry," Working Papers 93-39, C.V. Starr Center for Applied Economics, New York University.
  13. Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, vol. 67(1), pages 173-187, May.
  14. J. Bradford De Long & Lawrence H. Summers, 1986. "Are Business Cycles Symmetric?," NBER Working Papers 1444, National Bureau of Economic Research, Inc.
  15. Fischer, Stanley, 1982. "Relative price variability and inflation in the United States and Germany," European Economic Review, Elsevier, vol. 18(1), pages 171-196.
  16. Zvi Hercowitz, 1980. "Money and the Dispersion of Relative Prices," NBER Working Papers 0431, National Bureau of Economic Research, Inc.
  17. Parks, Richard W, 1978. "Inflation and Relative Price Variability," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 79-95, February.
  18. Vining, Daniel R, Jr & Elwertowski, Thomas C, 1976. "The Relationship between Relative Prices and the General Price Level," American Economic Review, American Economic Association, vol. 66(4), pages 699-708, September.
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