What lies beneath: what can disaggregated data tell us about the behaviour of prices?

Haroon Mumtaz, Pawel Zabczyk and Colin Ellis ()
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Colin Ellis: Daiwa Securities SMBC Europe Ltd

No 364, Bank of England working papers from Bank of England

Abstract: This paper uses a factor-augmented vector autoregression technique to examine the role that macroeconomic and sector-specific factors play in UK price fluctuations at the aggregate and disaggregated levels. Macroeconomic factors are less important for disaggregated prices than aggregate ones. There also appears to be significant aggregation bias - the persistence of aggregate inflation series is much higher than the underlying persistence across the range of disaggregated price series. Our results suggest that monetary policy affects relative prices in the short to medium term, and that the degree of competition within industries plays a role in determining pricing behaviour.

Keywords: Inflation persistence; disaggregation; principal components (search for similar items in EconPapers)
JEL-codes: C30 D40 E31 E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2009-03-20
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0364

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