Measuring US core inflation: A common trends approach

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 nomina...

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Bibliographic Details
Published inJournal of macroeconomics Vol. 25; no. 2; pp. 197 - 212
Main Authors Bagliano, Fabio C, Morana, Claudio
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier Inc 01.06.2003
Elsevier
Elsevier Science Ltd
SeriesJournal of Macroeconomics
Subjects
Common trend
Consumer Price Index
Core inflation
Economic models
Economic trends
Estimating techniques
Forecasts
Inflation
Macroeconomics
Measurement
Monetary economics
Monetary policy
Studies
Trends
U.S.A
United States > US
E31
C32
E52
Common trend
Core inflation
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Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0164-0704
1873-152X
DOI:10.1016/S0164-0704(03)00025-9