A Common Trends Model of UK Core Inflation
Posted: 13 May 2002
Abstract
In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961-1997 period is estimated within the framework of a multivariate common trends model which extends the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation from a small-scale, cointegrated macroeconomic system.
Keywords: Core inflation, common trends, monetary policy
JEL Classification: C32, E31, E52
Suggested Citation: Suggested Citation
Bagliano, Fabio C. and Morana, Claudio, A Common Trends Model of UK Core Inflation. Empirical Economics, Vol. 28, pp. 157-72, 2003, Available at SSRN: https://ssrn.com/abstract=299663
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