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Core Inflation And Trend Inflation
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Book Synopsis Core Inflation and Trend Inflation by : James H. Stock
Download or read book Core Inflation and Trend Inflation written by James H. Stock and published by . This book was released on 2015 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: An important input to monetary policymaking is estimating the current level of inflation. This paper examines empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to construct indexes akin to core inflation, but with time-varying distributed lags of weights, where the sectoral weight depends on the time-varying volatility and persistence of the sectoral inflation series, and on the comovement among sectors. The model is estimated using U.S. data on 17 components of the personal consumption expenditure inflation index. The modeling framework is a dynamic factor model with time-varying coefficients and stochastic volatility as in del Negro and Otrok (2008); this is the multivariate extension of the univariate unobserved components-stochastic volatility model of trend inflation in Stock and Watson (2007). Our main empirical results are (i) the resulting multivariate estimate of trend inflation is similar to the univariate estimate of trend inflation computed using core PCE inflation (excluding food and energy) in the first half of the sample, but introduces food in the second half of the sample: early in the sample, food inflation was noisy and a poor indicator of trend inflation, but now food inflation is less volatile, more persistent, and a useful indicator; (ii) the model-based filtering uncertainty about trend inflation is substantially reduced by using the disaggregated series in a multivariate model, relative to computing the trend using only headline inflation; (iii) the multivariate trend and the univariate trend constructed using core measures of inflation forecast average inflation over the 1-3 year horizon more accurately than a variety of other benchmark inflation measures, although there is considerable sampling uncertainty in these forecast comparisons.
Author :Tito Nícias Teixeira da Silva Filho Publisher :International Monetary Fund ISBN 13 :1484387813 Total Pages :19 pages Book Rating :4.4/5 (843 download)
Book Synopsis A Volatility and Persistence-Based Core Inflation by : Tito Nícias Teixeira da Silva Filho
Download or read book A Volatility and Persistence-Based Core Inflation written by Tito Nícias Teixeira da Silva Filho and published by International Monetary Fund. This book was released on 2015-01-21 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intuitively core inflation is understood as a measure of inflation where noisy price movements are avoided. This is typically achieved by either excluding or downplaying the importance of the most volatile items. However, some of those items show high persistence, and one certainly does not want to disregard persistent price changes. The non-equivalence between volatility and (the lack of) persistence implies that when one excludes volatile items relevant information is likely to be discarded. Therefore, we propose a new type of core inflation measure, one that takes simultaneously into account both volatility and persistence. The evidence shows that such measures far outperform those based on either volatility or persistence. The latter have been advocated in the literature in recent years.
Book Synopsis Measuring U.S. Core Inflation: The Stress Test of COVID-19 by : Laurence M. Ball
Download or read book Measuring U.S. Core Inflation: The Stress Test of COVID-19 written by Laurence M. Ball and published by International Monetary Fund. This book was released on 2021-12-17 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large price changes in industries affected by the COVID-19 pandemic have caused erratic fluctuations in the U.S. headline inflation rate. This paper compares alternative approaches to filtering out the transitory effects of these industry price changes and measuring the underlying or core level of inflation over 2020-2021. The Federal Reserve’s preferred measure of core, the inflation rate excluding food and energy prices (XFE), has performed poorly: over most of 2020-21, it is almost as volatile as headline inflation. Measures of core that exclude a fixed set of additional industries, such as the Atlanta Fed’s sticky-price inflation rate, have been less volatile, but the least volatile have been measures that filter out large price changes in any industry, such as the Cleveland Fed’s median inflation rate and the Dallas Fed’s trimmed mean inflation rate. These core measures have followed smooth paths, drifting down when the economy was weak in 2020 and then rising as the economy has rebounded. Overall, we find that the case for the Federal Reserve to move away from the traditional XFE measure of core has strengthened during 2020-21.
Download or read book Core Inflation written by Otto Eckstein and published by Prentice Hall. This book was released on 1981 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis Inflation Targeting, Debt, and the Brazilian Experience, 1999 to 2003 by : Francesco Giavazzi
Download or read book Inflation Targeting, Debt, and the Brazilian Experience, 1999 to 2003 written by Francesco Giavazzi and published by MIT Press. This book was released on 2005 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: How Brazil's monetary and fiscal policies survived a series of severe economic shocks and the policy lessons for other countries. Inflation targeting -- when central bank policies set specific inflation rate objectives -- is widely used by both developed and developing countries around the world (although not by the United States or the European Central Bank). This collection of original essays looks at how Brazil's policy of inflation targeting, coupled with a floating exchange rate, survived a series of severe economic shocks and examines the policy lessons that can be drawn from Brazil's experience. After a successful start in early 1999, Brazil's policy regime had to manage mounting difficulties, including a sudden reversal of capital flows and its effects on the exchange rate and public debt, the contagion of Argentina's severe economic problems, a domestic energy crisis, and the political uncertainty of the 2002 presidential campaign. The contributors, prominent Brazilian and international economists, draw important lessons from Brazil's experience, including the necessity of accompanying monetary policy with fiscal improvement, the trade-offs involved in dollar-linked debt, the importance of fiscal institutions in an emerging market economy, and the importance of keeping inflation under control.
Book Synopsis What is Keeping U.S. Core Inflation Low by : Mr.Yasser Abdih
Download or read book What is Keeping U.S. Core Inflation Low written by Mr.Yasser Abdih and published by International Monetary Fund. This book was released on 2016-09-07 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past two decades, U.S. core PCE goods and services inflation have evolved differently. Against the backdrop of global concerns of low inflation, we use this trend as motivation to develop a bottom-up model of U.S. inflation. We find that domestic forces play a larger role relative to foreign factors in influencing core services inflation, while foreign factors predominantly drive core goods price changes. When comparing forecasting performance, we find that both the aggregate Phillips curve and the bottom up approach give low root mean square errors. The latter, however, is more informative in tracing the effects of shocks and understanding the exact channels through which they affect aggregate inflation. Using scenario analysis—and given a relatively low sensitivity of core inflation to changes in slack, both at the aggregate Phillips curve and sub-components levels—we find that global pressures will likely keep core PCE inflation below 2 percent for the foreseeable future unless the dollar starts to depreciate markedly and the unemployment rate goes well below the natural rate. These results support the accommodative stance of monetary policy pursued thus far and, going forward, underscore the need for proceeding cautiously and very gradually in raising the federal funds rate.
Book Synopsis Weighted Median Inflation Around the World: A Measure of Core Inflation by : Laurence M. Ball
Download or read book Weighted Median Inflation Around the World: A Measure of Core Inflation written by Laurence M. Ball and published by International Monetary Fund. This book was released on 2023-02-24 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard measure of core or underlying inflation is the inflation rate excluding food and energy prices. This paper constructs an alternative measure, the weighted median inflation rate, for 38 advanced and emerging economies using subclass level disaggretion of the CPI over 1990-2021, and compares the properties of this measure to those of standard core. For quarterly data, we find that the weighted median is less volatile than standard core, more closely related to economic slack, and more closely related to headline inflation over the next year. The weighted median also has a drawback: in most countries, it has a lower average level than headline inflation. We therefore also consider a measure of core inflation that eliminates this bias, which is based on the percentile of sectoral inflation rates that matches the sample average of headline CPI inflation.
Book Synopsis Comparison of Measures of Core Inflation by : Robert Rich
Download or read book Comparison of Measures of Core Inflation written by Robert Rich and published by DIANE Publishing. This book was released on 2008-04 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability of central banks to differentiate between permanent & transitory price movements is critical for the conduct of monetary policy. The importance of gauging the persistence of price changes has led to the development of measures of underlying, or ¿core,¿ inflation that are designed to remove transitory price changes from aggregate inflation data. This article examines several proposed measures of core inflation -- the ex food & energy series, an ex energy series, a weighted median series, & an exponentially smoothed series -- to identify a ¿best¿ measure. Evaluates the measures¿ performance according to criteria such as ease of design, & accuracy in tracking trend inflation. Charts & tables.
Book Synopsis Inflation in Emerging and Developing Economies by : Jongrim Ha
Download or read book Inflation in Emerging and Developing Economies written by Jongrim Ha and published by World Bank Publications. This book was released on 2019-02-24 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first comprehensive study in the context of EMDEs that covers, in one consistent framework, the evolution and global and domestic drivers of inflation, the role of expectations, exchange rate pass-through and policy implications. In addition, the report analyzes inflation and monetary policy related challenges in LICs. The report documents three major findings: In First, EMDE disinflation over the past four decades was to a significant degree a result of favorable external developments, pointing to the risk of rising EMDE inflation if global inflation were to increase. In particular, the decline in EMDE inflation has been supported by broad-based global disinflation amid rapid international trade and financial integration and the disruption caused by the global financial crisis. While domestic factors continue to be the main drivers of short-term movements in EMDE inflation, the role of global factors has risen by one-half between the 1970s and the 2000s. On average, global shocks, especially oil price swings and global demand shocks have accounted for more than one-quarter of domestic inflation variatio--and more in countries with stronger global linkages and greater reliance on commodity imports. In LICs, global food and energy price shocks accounted for another 12 percent of core inflation variatio--half more than in advanced economies and one-fifth more than in non-LIC EMDEs. Second, inflation expectations continue to be less well-anchored in EMDEs than in advanced economies, although a move to inflation targeting and better fiscal frameworks has helped strengthen monetary policy credibility. Lower monetary policy credibility and exchange rate flexibility have also been associated with higher pass-through of exchange rate shocks into domestic inflation in the event of global shocks, which have accounted for half of EMDE exchange rate variation. Third, in part because of poorly anchored inflation expectations, the transmission of global commodity price shocks to domestic LIC inflation (combined with unintended consequences of other government policies) can have material implications for poverty: the global food price spikes in 2010-11 tipped roughly 8 million people into poverty.
Book Synopsis Measuring Us Core Inflation by : Fabio C. Bagliano
Download or read book Measuring Us Core Inflation written by Fabio C. Bagliano and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the long-run trend in CPI inflation (core inflation) for the US over the 1960-2000 period is estimated using a common trends model. In this framework, core inflation is interpreted and constructed as the long-run forecast of inflation conditional on the information contained in nominal money growth, output fluctuations and movements in the oil price. Unlike other commonly used measures of core inflation, the common-trends core inflation rate exploits the long-run link between inflation and monetary growth, a strong feature of the data.
Book Synopsis Measuring Core Inflation as the Common Trend of Prices by : Antonio Fiorencio
Download or read book Measuring Core Inflation as the Common Trend of Prices written by Antonio Fiorencio and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Great Inflation by : Michael D. Bordo
Download or read book The Great Inflation written by Michael D. Bordo and published by University of Chicago Press. This book was released on 2013-06-28 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Controlling inflation is among the most important objectives of economic policy. By maintaining price stability, policy makers are able to reduce uncertainty, improve price-monitoring mechanisms, and facilitate more efficient planning and allocation of resources, thereby raising productivity. This volume focuses on understanding the causes of the Great Inflation of the 1970s and ’80s, which saw rising inflation in many nations, and which propelled interest rates across the developing world into the double digits. In the decades since, the immediate cause of the period’s rise in inflation has been the subject of considerable debate. Among the areas of contention are the role of monetary policy in driving inflation and the implications this had both for policy design and for evaluating the performance of those who set the policy. Here, contributors map monetary policy from the 1960s to the present, shedding light on the ways in which the lessons of the Great Inflation were absorbed and applied to today’s global and increasingly complex economic environment.
Book Synopsis A Review of Core Inflation and an Evaluation of Its Measures by :
Download or read book A Review of Core Inflation and an Evaluation of Its Measures written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Core Inflation by : Ajax Reynaldo Bello Moreira
Download or read book Core Inflation written by Ajax Reynaldo Bello Moreira and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The monetary authorities need a future measure of inflation trend to keep on tracking the inflation on target. Many alternatives of the core inflation measure have appeared in the recent literature pretending to avoid the deficiencies of the usual headline inflation index as a predictor. This price index is defined as some weighted average of the individual price change of a list of goods and services. To use it as the future inflation indicator is criticized in the literature, as far as the products are heterogeneous in respect to the variability and some of the involved prices have relevant seasonal movements. A multivariate model including simultaneously the seasonal effects of each component of the price index and a common trend - the core inflation - will be developed in this paper. The model will be phrased as a dynamic model and a robust sequential filter will be introduced. The posterior and predictive distributions of the quantities of interest will be evaluated via stochastic simulation techniques, MCMC - Monte Carlo Markov Chain. Different models will be compared using the minimum posterior predictive loss approach and many graphical illustrations will be presented.
Book Synopsis A Comparison of Measures of Core Inflation by : Robert W. Rich
Download or read book A Comparison of Measures of Core Inflation written by Robert W. Rich and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability of central banks to differentiate between permanent and transitory price movements is critical for the conduct of monetary policy. The importance of gauging the persistence of price changes in a timely manner has led to the development of measures of underlying, or core, inflation that are designed to remove transitory price changes from aggregate inflation data. Given the usefulness of this information to policymakers, there is a surprising lack of consensus on a preferred measure of U.S. core inflation. This article examines several proposed measures of core inflation - the popular ex food and energy series, an ex energy series, a weighted median series, and an exponentially smoothed series - to identify a best measure. The authors evaluate the measures' performance according to criteria such as ease of design and accuracy in tracking trend inflation, as well as explanatory content for within-sample and out-of-sample movements in aggregate CPI and PCE inflation. The study reveals that the candidate series perform very differently across aggregate inflation measures, criteria, and sample periods. The authors therefore find no compelling evidence to focus on one particular measure of core inflation, including the series that excludes food and energy prices. They attribute their results to the design of the individual measures and the measures' inability to account for variability in the nature and sources of transitory price movements.
Download or read book Core Inflation written by Seamus Hogan and published by . This book was released on 2001 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
