Relative Shocks, Relative Price Variability, and Inflation
نویسندگان
چکیده
منابع مشابه
Inflation Forecasting, Relative Price Variability and Skewness
This paper presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. JEL: E17, E31, C43
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Prices of most agricultural and mineral commodities rose strongly in the past decade, peaking sharply in 2008. Popular explanations included strong global growth (especially from China and India), easy monetary policy (as reflected in low real interest rates or expected inflation), a speculative bubble (resulting from bandwagon expectations) and risk (possibly resulting from geopolitical uncert...
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Movements in commodity prices can have large effects on output and inflation. From both an academic and policy perspective, changes in commodity prices relative to the prices of services and manufactured goods pose a number of important questions. First, what are the fundamental processes or shocks that drive these changes and how persistent are they likely to be? Second, through what transmiss...
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The relationship between inflation and relative price variability (RPV) is widely believed to be positive and stable. Using disaggregated CPI data for the U.S. and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U-shaped and symmetric around a certain threshold: a positive correlation on one side but a trad...
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ژورنال
عنوان ژورنال: Brookings Papers on Economic Activity
سال: 1981
ISSN: 0007-2303
DOI: 10.2307/2534344