Cross-Sectional Relative Price Variability and Inflation in Turkey: Time Varying Estimation

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

Relationship between Inflation and Relative Price Variability: Revisited∗

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...

Inflation and Relative Price Variability: Short-Run vs. Long-Run

This paper uses recent developments in measuring correlation to examine the relationship between inflation and relative price variability. The results suggest that the positive correlation holds not only in the short-run but also in the long-run. This finding has important implications for theoretical models that purport to explain this relationship: such models must incorporate features that g...

Reconsidering The Relationship between Inflation and Relative Price Variability∗

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...

Inflation And Relative Price Dispersion: Evidence For Iran

Further evidence on the variability of inflation and relative price variability

Using a sample of monthly observations of both a 12-category group and a 203-category group of personal consumption expenditures, we furnish evidence that relative price variability is positively related to both the inflation rate and inflation variability. The relation is robust to oil-price shocks.  2000 Elsevier Science S.A. All rights reserved.