Inflation and the Skewness of the Distribution of Relative Price Changes: Empirical Evidence for Germany / Inflation und die Schiefe der Verteilung relativer Preisänderungen: Empirische Evidenz für Deutschland

Döpke Jörg () and Christian Pierdzioch
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Döpke Jörg: Institute of World Economics, Düsternbrooker Weg 120, D-24100 Kiel

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2003, vol. 223, issue 2, 136-158

Abstract: The paper uses German annual data covering the period 1969-2000 to present evidence on the link between aggregate inflation and the skewness of the distribution of relative price changes. Our empirical results are mixed. Our regression-based analyses suggest that the skewness of the distribution of relative price changes may be an explanatory variable for the inflation rate. Our empirical evidence in favor of the hypothesis that the skewness measure may help to explain shifts in the Phillips curve is somewhat weaker. Moreover, a structural vector autoregression reveals that the skewness may help to explain the dynamics of real output. At the same time, however, demand shocks seem to explain a non-negligible proportion of the variation of the skewness.

Keywords: Inflation; relative prices; distribution of relative prices changes; Inflation; relative Preise; Verteilung relativer Preisveränderungen (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:223:y:2003:i:2:p:136-158

DOI: 10.1515/jbnst-2003-0203

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