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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w4303 |
来源ID | Working Paper 4303 |
Measuring Core Inflation | |
Michael F. Bryan; Stephen G. Cecchetti | |
发表日期 | 1993-03-01 |
出版年 | 1993 |
语种 | 英语 |
摘要 | In this paper, we investigate the use of limited-information estimators as measures of core inflation. Employing a model of asymmetric supply disturbances, with costly price adjustment, we show how the observed skewness in the cross-sectional distribution of inflation can cause substantial noise in the aggregate price index at high frequencies. The model suggests that limited-influence estimators, such as the median of the cross-sectional distribution of inflation, will provide superior short-run measures of core inflation. We document that our estimates of inflation have a higher correlation with past money growth and deliver improved forecasts of future inflation relative to the CPI. Moreover, unlike the CPI, the limited-influence estimators do not forecast future money growth, suggesting that monetary policy has often accommodated supply shocks that we measure as the difference between core inflation and the CPI. Among the three limited-influence estimators we consider - the CP1 excluding food and energy, the IS-percent trimmed mean, and the median - we find that the median has the strongest relationship with past money growth and provides the most accurate forecast of future inflation. Using the median and several other variables including nominal interest rates and M2, our best forecast is that in the absence of monetary accommodation of any future aggregate supply shocks, inflation will average roughly 3 percent per year over the next five years. |
主题 | Macroeconomics ; Business Cycles |
URL | https://www.nber.org/papers/w4303 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561665 |
推荐引用方式 GB/T 7714 | Michael F. Bryan,Stephen G. Cecchetti. Measuring Core Inflation. 1993. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w4303.pdf(2131KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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