Autore
Morana, Claudio

Titolo
Common persistent factors in inflation and excess nominal money growth and a new measure of core inflation.
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2002 - Volume: 02 - Fascicolo: 20 - Pagina iniziale: 1 - Pagina finale: 44

In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal money growth and inflation in the euro area, and propose a new core inflation measure which takes into account both features. A comparison with other core inflation measures reveals that the proposed core inflation process is superior in terms of forecasting properties and economic interpretability.



Testo completo: http://www.eco.unipmn.it/biblioteca/pdf/semeq/semeq20.pdf

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