A New Core Inflation Indicator for New Zealand

Domenico Giannone and Troy Matheson ()

No 6469, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate consumer price data. Using disaggregate consumer price data we can directly compare the predictive performance of our core indicator with a wide range of other ?core inflation? measures estimated from disaggregate consumer prices, such as the weighted median and the trimmed mean. The medium term inflation target of Reserve Bank of New Zealand is used as a guide to define our target measure of core inflation - a centered 2 year moving average of past and future inflation outcomes. We find that our indicator produces relatively good estimates of this characterisation of core inflation when compared with estimates derived from a range of other models.

Keywords: Core inflation; Monetary policy (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 E52 (search for similar items in EconPapers)
Date: 2007-09
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Related works:
Journal Article: A New Core Inflation Indicator for New Zealand (2007)
Working Paper: A new core inflation indicator for New Zealand (2007)
Working Paper: A new core inflation indicator for New Zealand (2006)
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