Autore
Morana, Claudio

Titolo
A structural common factor approach to core inflation estimation and forecasting.
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2003 - Volume: 03 - Fascicolo: 54 - Pagina iniziale: 1 - Pagina finale: 61

In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of monetary inflation. The proposed measure is characterised by all the properties that an "ideal" core inflation process should show, providing also a superior forecasting performance relative to other available measures. Keywords: long memory, common factors, fractional cointegration, Markov switching, core inflation, euro area. JEL classification: C22, E31, E52.



Testo completo: http://www.eco.unipmn.it/biblioteca/pdf/semeq/semeq54.pdf

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