UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY

Abstract Historians have suggested that there were waves of inflation or price revolutions in the United Kingdom (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1935. We study retail price inflation since 1251 and model its dynamics. The model is an...

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Bibliographic Details
Published inInternational economic review (Philadelphia) Vol. 64; no. 4; pp. 1595 - 1614
Main Authors Nason, James M., Smith, Gregor W.
Format Journal Article
LanguageEnglish
Published Philadelphia Blackwell Publishing Ltd 01.11.2023
Subjects
13th century
20th century
Economic theory
Historians
Inflation
Interest rates
Revolutions
Stochasticity
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Summary:Abstract Historians have suggested that there were waves of inflation or price revolutions in the United Kingdom (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1935. We study retail price inflation since 1251 and model its dynamics. The model is an AR( n ) but allows for gradually evolving or drifting parameters and stochastic volatility. The long‐horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to measure inflation predictability and price‐level instability from the beginning of the sample and to provide measures of real interest rates since 1695.
ISSN:0020-6598
1468-2354
DOI:10.1111/iere.12649