[PDF] Wavelet Based Core Inflation Measures eBook

Author : John Cotter
Publisher :
Page : 0 pages
File Size : 14,77 MB
Release : 2008
Category :
ISBN :

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This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based measures for their performance in following trend inflation and predicting future inflation. Results suggest that wavelet-based measures perform better, and sometimes much better, than the traditional approaches. These results suggest that wavelet methods are a promising avenue for future research on core inflation.

Author : Tito Nícias Teixeira da Silva Filho
Publisher : International Monetary Fund
Page : 19 pages
File Size : 42,44 MB
Release : 2015-01-21
Category : Business & Economics
ISBN : 1498374743

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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.

Author : Danny Quah
Publisher :
Page : 0 pages
File Size : 15,16 MB
Release : 1998
Category :
ISBN :

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Many alternative measures of core, or underlying, inflation have been proposed that are based on stripping out some unwanted or excessively volatile elements from the headline rate. A potential drawback of such measures is that they are necessarily atheoretic--based largely on purely statistical procedures. This paper proposes an alternative method of measuring core inflation utilizing an explicit economic definition. It defines core inflation as that part of measured inflation that has no medium or long term impact on real output--a notion that is consistent with the vertical long-run Phillips curve. This definition captures the commonly held view that moderate movements in inflation can have no impact on the real economy once financial and wage contracts have been written taking it into account. Using this definition the paper estimates a measure of core inflation using the VAR identification technique developed by Blanchard and Quah. The estimated measure indicates that core inflation was higher than measured inflation in the early 80s suggesting that measured inflation was depressed by beneficial supply shocks. The opposite effect occurred in the late 80s. Currently, core inflation is above measured inflation.

Author : Abdul-Aziz Iddrisu
Publisher : Routledge
Page : 88 pages
File Size : 33,74 MB
Release : 2021-11-23
Category : Business & Economics
ISBN : 1000528510

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This book focuses on the impact of monetary policy and food price volatility and inflation in emerging and developing economies. The tendency for food price volatility to blot inflation forecasting accuracy, engender tail dynamics in the overall inflation trajectory and derail economic welfare is well known in the literature. The ability of monetary policy to exact stability in food prices, theoretically, has also been well espoused. The empirical evidence, however, is not only in short supply, but also the studies available have dwelt on approaches that underplay the volatile behaviour of food prices. This book focuses on inflation targeting in emerging economies such as Chile, Mexico, Turkey, Brazil, Hungary, Russia, Colombia, South Africa, Indonesia and Ghana, as these are economies with considerable proportion of the consumption basket occupied by food. The book provides the means to understand at first hand the correct way to model food inflation, account for the related policy responses to deviations either in the short or medium to long term, and in market conditions that are subject to excessive variability. Strong evidence is presented that captures deviations of food prices from their trend and the accompanying monetary policy effect in stabilizing such variabilities across distinct frequencies. The novel approach in this book addresses the burgeoning puzzles of asymmetry in monetary policy effect on food prices at high, medium and low episodes of food inflation. In doing so, this book presents a powerful tool for researchers interested in understanding not just the transmission mechanism, but also the magnitudes involved, and to policymakers whose existing tools have failed them. Future studies will do well to deepen the evidence and seek new grounds to which the phenomenon manifests beyond and below emerging markets. This book will be of great interest to students, scholars and policymakers involved in agricultural economics, financial economics, food security and sustainable development.

Author : Ramazan Gençay
Publisher : Elsevier
Page : 383 pages
File Size : 28,58 MB
Release : 2001-10-12
Category : Business & Economics
ISBN : 0080509223

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Author : Guy Nason
Publisher : Springer Science & Business Media
Page : 259 pages
File Size : 21,34 MB
Release : 2010-07-25
Category : Mathematics
ISBN : 0387759611

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This book contains information on how to tackle many important problems using a multiscale statistical approach. It focuses on how to use multiscale methods and discusses methodological and applied considerations.