| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP6639
|
| DP6639 Economic, Political, and Institutional Prerequisites for Monetary Union Among the Members of the Gulf Cooperation Council |
| Willem Buiter
|
| 发表日期 | 2008-01-11
|
| 出版年 | 2008
|
| 语种 | 英语
|
| 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 |
| 主题 | International Macroeconomics
|
| 关键词 | Dynamic factor models
inflation
Phillips relation
Relative prices
|
| URL | https://cepr.org/publications/dp6639
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535473
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推荐引用方式
GB/T 7714 |
Willem Buiter. DP6639 Economic, Political, and Institutional Prerequisites for Monetary Union Among the Members of the Gulf Cooperation Council. 2008.
|
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