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Relative goods' prices and pure inflation

저자: Ricardo Reis; Mark W Watson; National Bureau of Economic Research.
출판사: Cambridge, Mass. : National Bureau of Economic Research, 2007.
시리즈: Working paper series (National Bureau of Economic Research), no. 13615.
판/형식:   전자도서 : 문서 : 영어모든 판과 형식 보기
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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  더 읽기…
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자료 유형: 문서, 인터넷 자료
문서 형식: 인터넷 자원, 컴퓨터 파일
모든 저자 / 참여자: Ricardo Reis; Mark W Watson; National Bureau of Economic Research.
OCLC 번호: 182544971
설명: 1 online resource (1 v.)
일련 제목: Working paper series (National Bureau of Economic Research), no. 13615.
책임: Ricardo Reis, Mark W. Watson.

초록:

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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