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Inflation and Output Comovement in the Euro Area.

Author: Michal Andrle; Jan Bruha; Serhat Solmaz
Publisher: Washington : International Monetary Fund, 2013.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
This paper discusses comovement between inflation and output in the euro area. The strength of the comovement may not be apparent at first sight, but is clear at business cycle frequencies. Our results suggest that at business cycle frequency, the output and core inflation comovement is high and stable, and that inflation lags the cycle in output with roughly half of its variance. The strong relationship of output  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Andrle, Michal.
Inflation and Output Comovement in the Euro Area: Love at Second Sight?
Washington : International Monetary Fund, ©2013
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michal Andrle; Jan Bruha; Serhat Solmaz
ISBN: 9781475531206 1475531206
OCLC Number: 867927970
Description: 1 online resource (27 pages).
Contents: Cover; Contents; I. Introduction; II. Underlying inflation for the Euro Area; A. Data and computation; B. Properties of inflation and underlying inflation; Figures; 1. Headline (thin) vs. underlying inflation (thick), %, ann.; 2. Trimmed mean vs. CPI-X, % ann.; III. Inflation-Output Comovement; A. Measuring Comovement; 3. Output and inflation cycles; 4. Spectral properties --
output and inflation cycle; 5. GDP level and median inflation coherence; B. Implications of Output-Inflation Comovement; 6. Underlying inflation --
output and unemployment cycles; IV. Robustness. 7. Headline inflation and variety of trimmed meansV. Conclusions; References; Appendices; A. Trimmed mean methodology and computations; B. Placebo test for the matching estimator; C. Additional graphs & tables; 8. Skewness and excess kurtosis; 9. Sample distribution of price changes; 10. Effect of asymmetric trimmed percentage on the loss; 11. Baseline trimmed mean vs weighted median; 12. Cons. deflator inflation and output cycle; 13. Price level implications of underlying inflation measures; 14. Frequency of exclusions --
CPI-T(10,10).
Series Title: IMF Working Papers.

Abstract:

This paper discusses comovement between inflation and output in the euro area. The strength of the comovement may not be apparent at first sight, but is clear at business cycle frequencies. Our results suggest that at business cycle frequency, the output and core inflation comovement is high and stable, and that inflation lags the cycle in output with roughly half of its variance. The strong relationship of output and inflation hints at the importance of demand shocks for the euro area business cycle.

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