Core Inflation Measures and Statistical Issues in Choosing Among Them, Issues 2006-2097
International Monetary Fund, Statistics Department, Apr 1, 2006 - Inflation (Finance) - 56 pages
This paper provides an overview of statistical measurement issues relating to alternative measures of core inflation, and the criteria for choosing among them. The approaches to measurement considered include exclusion-based methods, imputation methods, limited influence estimators, reweighting, and economic modeling. Criteria for judging which approach to use include credibility, control, deviations from a smoothed reference series, volatility, predictive ability, causality and cointegration tests, and correlation with money supply. Country practice can differ in how the approaches are implemented and how their appropriateness is assessed. There is little consistency in the results of country studies to readily suggest guidelines on accepted methods.
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Core Inflation Measures and Statistical Issues in Choosing Among Them (EPub)
Limited preview - 2006
12-month inflation aggregate alternative anchor inflation expectations argued Banco de Portugal basis Bryan and Cecchetti calculated Cecchetti 1997 central bank cointegration considered core inflation measures core measure countries CPI inflation CPI-U credibility Cutler distribution of price effect empirical equation errors and bias example excluding F&E exclusion-based measures Exclusion-based methods food and energy forecasts fully flexible Granger-causality Heath indirect taxes inflation rate inflation targeting inflationary Jarque-Bera kurtosis leptokurtic level of trim Lucas critique Mankikar and Paisley Marques measures of core menu cost monetary authorities month-on-month months moving average noise normal distribution null hypothesis one-off percent trimmed mean period persistence weighted prediction intervals predictive ability price changes price index principal component product groups reference series regression relative price RMSE Roger sectors shocks skewness smooth standard deviation statistical criteria Supply Shocks symmetric target measure trend estimates values variable variance Volatility weights Wald test weighted median