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Relative goods' prices and pure inflation

著者: Ricardo Reis; Mark W Watson; National Bureau of Economic Research.
出版: Cambridge, Mass. : National Bureau of Economic Research, 2007.
シリーズ: Working paper series (National Bureau of Economic Research), no. 13615.
エディション/フォーマット:   電子書籍 : Document : Englishすべてのエディションとフォーマットを見る
データベース:WorldCat
概要:
This paper uses a dynamic factor model for the quarterly changes in consumption goods' prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of "pure" inflation: the common component in goods' inflation rates that has an equiproportional effect on all prices and is uncorrelated with  続きを読む
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その他のフォーマット: Print version:
Reis, Ricardo.
Relative goods' prices and pure inflation.
Cambridge, Mass. : National Bureau of Economic Research, 2007
(OCoLC)184845252
資料の種類: Document, インターネット資料
ドキュメントの種類: インターネットリソース, コンピューターファイル
すべての著者/寄与者: Ricardo Reis; Mark W Watson; National Bureau of Economic Research.
OCLC No.: 182544971
複製に関する注記: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2011. MiAaHDL
物理形態: 1 online resource (1 volume).
詳細: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
シリーズタイトル: Working paper series (National Bureau of Economic Research), no. 13615.
責任者: Ricardo Reis, Mark W. Watson.

概要:

This paper uses a dynamic factor model for the quarterly changes in consumption goods' prices to separate them into three components: idiosyncratic relative-price changes, aggregate relative-price changes, and changes in the unit of account. The model identifies a measure of "pure" inflation: the common component in goods' inflation rates that has an equiproportional effect on all prices and is uncorrelated with relative price changes at all dates. The estimates of pure inflation and of the aggregate relative-price components allow us to re-examine three classic macro-correlations. First, we find that pure inflation accounts for 15-20% of the variability in overall inflation, so that most changes in inflation are associated with changes in goods' relative prices. Second, we find that the Phillips correlation between inflation and measures of real activity essentially disappears once we control for goods' relative-price changes. Third, we find that, at business-cycle frequencies, the correlation between inflation and money is close to zero, while the correlation with nominal interest rates is around 0.5, confirming previous findings on the link between monetary policy and inflation.

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