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Relative goods' prices and pure inflation

作者: Ricardo Reis; Mark W Watson; National Bureau of Economic Research.
出版商: Cambridge, Mass. : National Bureau of Economic Research, 2007.
叢書: Working paper series (National Bureau of Economic Research), no. 13615.
版本/格式:   電子書 : 文獻 : 英語所有版本和格式的總覽
資料庫:WorldCat
提要:
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  再讀一些...
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資料類型: 文獻, 網際網路資源
文件類型: 網路資源, 電腦資料
所有的作者/貢獻者: Ricardo Reis; Mark W Watson; National Bureau of Economic Research.
OCLC系統控制編碼: 182544971
描述: 1 online resource (1 v.)
叢書名: Working paper series (National Bureau of Economic Research), no. 13615.
責任: Ricardo Reis, Mark W. Watson.

摘要:

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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