In the article we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally co-integrated processes. The proposed core inflation measure is the common persistent feature in inflation and excess nominal money growth and bears the interpretation of monetary inflation. The proposed measure is characterized by all the properties that an 'ideal' core inflation process should show, providing also a superior forecasting performance relative to other available measures.

Morana, C. (2007). Structural Common Factor Approach to Core Inflation Estimation and Forecasting. APPLIED ECONOMICS LETTERS, 14(3), 163-169 [10.1080/13504850500425147].

Structural Common Factor Approach to Core Inflation Estimation and Forecasting

MORANA, CLAUDIO
2007

Abstract

In the article we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally co-integrated processes. The proposed core inflation measure is the common persistent feature in inflation and excess nominal money growth and bears the interpretation of monetary inflation. The proposed measure is characterized by all the properties that an 'ideal' core inflation process should show, providing also a superior forecasting performance relative to other available measures.
Articolo in rivista - Articolo scientifico
Long memory, common factors, fractional cointegration, Markov switching, core inflation, euro area
English
2007
14
3
163
169
none
Morana, C. (2007). Structural Common Factor Approach to Core Inflation Estimation and Forecasting. APPLIED ECONOMICS LETTERS, 14(3), 163-169 [10.1080/13504850500425147].
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/26013
Citazioni
  • Scopus 6
  • ???jsp.display-item.citation.isi??? 5
Social impact