| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5412
|
| DP5412 The 1920s and the 1990s in Mutual Reflection |
| Robert J. Gordon
|
| 发表日期 | 2005-12-16
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | This paper analyzes the pass-through from import prices to CPI inflation in real time. Our strategy follows an event-study approach, which compares inflation forecasts before and after import price releases. Inflation forecasts are modelled using a dynamic factor procedure that relies on daily panels of Swiss data. We find strong evidence that monthly import price releases provide important information for CPI inflation forecasts and that the behaviour of updated forecasts is consistent with a time-varying pass-through. The robustness of this latter result is underpinned in two ways: an alternative CPI measure that excludes price components subject to administered pricing and as well as panels capturing different levels of information breadth. Besides implying a time-varying pass-through, our empirical findings cast doubt on a prominent role of sticky prices for the low pass-through findings. |
| 主题 | International Macroeconomics
|
| 关键词 | Common factors
Pass-through
Daily panels
|
| URL | https://cepr.org/publications/dp5412
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534268
|
推荐引用方式
GB/T 7714 |
Robert J. Gordon. DP5412 The 1920s and the 1990s in Mutual Reflection. 2005.
|
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