Disaggregate evidence on the persistence of consumer price inflation

by Todd E. Clark

Publisher: Research Division, Federal Reserve Bank of Kansas City in Kansas City [Mo.]

Written in English
Published: Downloads: 581
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Subjects:

  • Inflation (Finance) -- Econometric models.,
  • Consumer price indexes -- Econometric models.

Edition Notes

Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data Jean Boivin, Marc Giannoni, Ilian Mihov. NBER Working Paper No. Issued in January NBER Program(s):Economic Fluctuations and Growth, Monetary Economics This paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor-augmented vector autoregression Cited by: Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data Jean Boivin, Marc Giannoni, and Ilian Mihov The persistence of sectoral inflation is driven by macroeconomic factors; (3) While disaggregated Categories in which consumer prices fall the most following a monetary policy shock tend. DISS. ETH NO. Essays on Inflation Expectation Formation A dissertation submitted to ETH Zurich for the degree of Doctor of Sciences presented by. Get this from a library! Sticky Prices and Monetary Policy: Evidence from Disaggregated U.S. Data. [Jean Boivin; Marc Giannoni; Ilian Mihov] -- This paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor-augmented vector autoregression estimated on a large data set. On the basis of.

The consumer price index tires to measure how much consumer incomes must rise in order to maintain a constant standard of living. Several studies in the s concluded that the consumer price index overstated inflation by about. Kiley, Michael T. (). "Estimating the Common Trend Rate of Inflation for Consumer Prices and Consumer Prices Excluding Food and Energy Prices," Finance and Economics Discussion Series Board of Governors of the Federal Reserve System (U.S.). Kiley, Michael T. (). Inflation Persistence Network analyzed price rigidities using large data sets collected for the purpose of CPI calculation. The aim of this paper is to study price rigidities in one specific market environment, the Internet, and to supplement the evidence put together by the CPI micro price studies.   Similar evidence of strong long-term persistence in the inflation rates of the United States, United Kingdom, Germany, France, and Italy is also provided by Hassler and Wolters (). Delgado and Robinson () find evidence of persistent dependence in the Spanish inflation rate.

Examining the Time-Variation of Inflation Persistence in Ten Euro Area Countries Nektarios A. Michail on persistence in some countries. Overall, the evidence is in line with the persistence of low inflation in the euro area since at least Monthly data on the Consumer Price Index were obtained from the IMF’s International.   Inflation Targeting and Regional Inflation Persistence: Evidence from Korea Inflation Targeting and Regional Inflation Persistence: Evidence from Korea Tillmann, Peter The adoption of a credible monetary policy regime such as inflation targeting is known to reduce the persistence of inflation fluctuations. This conclusion, however, is typically derived from .   Whether inflation persistence is good or bad depends upon i) the level of inflation, ii) the degree of inflation persistence, iii) the underlying drivers of inflation and inflation persistence, iv) level of development of economy-inflation is volatile in developing world compared to developed one2, and v) focus of monetary policy - price.   This article studies the mean and the persistence of inflation in the 10 largest Latin American countries for the period – We find multiple shifts in the mean, with inflation in the region increasing throughout the eighties and decreasing in the nineties, thus documenting that the rise and fall of inflation in Latin America occurred a decade later than in industrial countries.

Disaggregate evidence on the persistence of consumer price inflation by Todd E. Clark Download PDF EPUB FB2

Taking into account an early s shift in mean inflation identified by break tests yields much lower estimates of both aggregate and disaggregate persistence for – But with the mean break, average disaggregate persistence is actually as great as aggregate inflation by: persistence of disaggregate consumer price inflation and the disaggregate evidence of any change in inflation persistence.

More specifically, this paper uses disaggregate inflation series spanning all of consumption as measured in the NIPA accounts over the time periodto assess. examine: (i) the persistence of disaggregate inflation relative to aggregate inflation; (ii) the distribution of persistence across consumption sectors; and (iii) whether persistence has changed.

Assuming mean inflation to be unchanged within samples, the average persistence of disaggregate inflation is consistently below aggregate persistence. BibTeX @ARTICLE{Clark06disaggregateevidence, author = {Todd E. Clark}, title = {Disaggregate Evidence of the Persistence of Consumer Price Inflation}, journal = {Journal of Applied Econometrics}, year = {}}.

Evidence on inflation persistence at the level of disaggregate inflation is provided by Clark (). His results reveal that the aggregation process induces persistence into the aggregate.

But with the mean break taken into account, average disaggregate persistence is actually as great as aggregate inflation persistence.

A factor model provides a natural framework for interpreting the relationship between aggregate and disaggregate er price indexesAuthor: Todd E.

Clark. This much higher volatility is a common feature of the inflation rates of sectoral prices as shown in Clark () and Bilke ().

Third, the persistence of sectoral inflation rates is also clearly smaller than the one of the aggregate inflation series.

A first measure of persistence is given by the largest root of an ARMA model fitted on the Cited by:   For example, Clark () investigates the persistence of U.S. disaggregate consumer Disaggregate evidence on the persistence of consumer price inflation book inflation, observing that average disaggregate persistence is actually as great as aggregate inflation persistence.

A similar result is found for the euro area by Altissimo et al. ().Author: César Castro, Rebeca Jiménez-Rodríguez, Pilar Poncela, Eva Senra. The paper provides an empirical analysis of inflation persistence in one of the inflation targeting countries, the Czech Republic, using detailed product-level consumer price indexes underlying the consumer basket over the period from M1 to M   Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the mean of the distribution unchanged.

Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early by: But with the mean break taken into account, average disaggregate persistence is actually as great as aggregate inflation persistence.

A factor model provides a natural framework for interpreting the relationship between aggregate and disaggregate persistence.

persistence of the aggregate CPI inflation rate is significantl y smaller than the average of persistence estimates across sectors. This is consistent with the Bank of Korea effectively stabilizing aggre gate shocks under inflation targeting. Our paper provides the first evidence of disaggregate inflation persistence for an Asian emerging mar ket by: 3.

goods’ characteristics. This gives rise to high relative price persistence at the aggregate level but lower relative price persistence at the disaggregate level.

In a paper that summarizes work by the Euro Area Inflation Persistence Network, Altissimo et al. () investigate sectoral and aggregate inflation dynamics in the Euro Area. Abstract. This paper synthesises the implications of recent statistical evidence regarding inflation persistence in the euro area.

For aggregate data, the degree of inflation persistence appears to be very high for sample periods spanning multiple decades but falls dramatically once we allow for time variation in the mean level of inflation; furthermore, the timing of these breaks in mean Cited by: This article investigates the degree of persistence of different inflation rates for the Spanish economy using the Consumer Price Index (CPI) for the aggregate as well as for the regions.

There is also evidence for aggregation bias, that is, aggregate inflation is found to be more persistent than the underlying detailed components.

Price dispersion, as a proxy for the degree of competition, is found to be negatively related to inflation persistence, suggesting that competition is not conducive to reducing by: Clark, Todd E. “Disaggregate Evidence on the Persistence of Consumer Price Inflation.” Journal of Applied Econometrics, July/August21(5), pp.

Davis, Steven J. and Haltiwanger, John H. “Sectoral Job Creation and Destruction Responses to Oil Price Changes.” Journal of Monetary Economics, December48(3), pp.

consumer price index inflation persistence, we also show that the picture is more nuanced at the product category level. Introduction Inflation persistence is often defined as the extent to which shocks in the past have an effect on current inflation (Fuhrer & Moore, ).

Understanding how shocks that haveAuthor: Paweł Gajewski. Disaggregate evidence on the persistence of consumer price inflation Journal of Applied Econometrics,21, (5), View citations (74) See also Working Paper () The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence.

Abstract. The paper provides an empirical analysis of inflation persistence in the Czech Republic using detailed product-level consumer price indexes underlying the consumer basket over the period from M1 to M   Clark, T.

“Disaggregate Evidence on the Persistence of Consumer Price Inflation.” Journal of Applied Econometrics – Crossref Google Scholar. Clark, T. “Real-time Density Forecasts from VARs with Stochastic Volatility.” Journal of Business and Economic Statistics 29 (3): – Web of Science Crossref Cited by:   Abstract.

In this study we propose a new measure of trend inflation for India. Using monthly data for CPI-IW inflation, we use a multivariate unobserved component model that incorporates information from food and energy prices and provides an estimated trend inflation that we argue is a more reasonable measure of long-run inflation expectations in : Vipul Bhatt, N.

Kundan Kishor. Abstract: This paper examines persistence in Turkish inflation rates using data on consumer and wholesale price indexes. The inflationary process in Turkey is believed to be highly inertial, which should lead to strongly persistent inflation series.

Persistence of 75 inflation series at various aggregation levels are examined byCited by:   We find that disaggregate inflation series show no significant persistence. We found that only twelve out of seventy-five series require more than six months for 99 percent of the effect of a shock to dissipate.

Thus, the paper finds evidence of spurious long memory due to by: varying degrees of inflation persistence in disaggregate level data, indicating sectoral heterogeneity. Lastly, he also finds evidence that inflation persistence at the aggregate level was higher than the combined disaggregated levels during the early part of the sample, which however, changes.

Clark Todd E., (), ‘Disaggregate Evidence on the Persistence of Consumer Price Inflation, Federal Reserve Bank of Kansas City Research Working PaperDecember.

Cecchetti Stephen and Guy Debelle (), ‘Has the Inflation Process Changed?, Bank for International Settlement Working Paper NoNovember.

consumer price indexes underlying the consumer basket over the period from M1 to M Subject to various sensitivity tests, our results suggest that raw goods and non-durables, followed by services, display smaller inflation persistence than durables and processed goods.

Inflation seems to be somewhat less persistent after the adoption. We study the issue of inflation persistence in Argentina for the period from two perspectives: univariate time-series and disaggregate frequency-domain analysis of the Consumer Price Index (CPI) inflation.

From the first viewpoint the appropriateness of considering a time-varying mean is. A quick glance at Fig. 1 helps grasp important features of Canadian inflation dynamics since The upper panel of Fig. 1 plots the evolution of the headline inflation rate and three selected disaggregate inflation rates (solid lines) over time, along with the announced target range of inflation (dotted lines).

2 National headline inflation displays two apparent structural changes: one Cited by: 6. Disaggregate evidence on the persistence of consumer price inflation. TE Clark. Journal of Applied Econometrics 21 (5), Do producer prices lead consumer prices.

TE Clark. Economic Review-Federal Reserve Bank of Kansas C The predictive content of the output gap for inflation: Resolving in-sample and out-of-sample evidence.

Introduction • Aim of this presentation – Summary of current knowledge on inflation persistence and price setting behaviour in the euro area – Based on the main findings of a collaborative Eurosystem research project: the Inflation Persistence Network (IPN) • Objectives of the IPN: – Investigate the degree of inflation persistence; – Study the patterns and determinants of price setting.Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic Ian Babetskii, Fabrizio Coricelli and Roman Horváth∗ Abstract The paper provides an empirical analysis of inflation persistence in the Czech Republic using detailed product-level consumer price indexes underlying the consumer basket over the.definition of inflation persistence and methodological details on the approach used to produce the results.

Section 3 gives an overview of the data variables and reports the results on inflation persistence. Section 4 discusses the estimates of inflation persistence in Bulgaria in the context of the IPN evidence.