A new core inflation indicator for New Zealand

Domenico Giannone and Troy Matheson ()

No DP2006/02, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate price data. Using disaggregate 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 prices, such as the weighted median and the trimmed mean. Predictive performance is assessed relative to a centred 2 year moving average of past and future annual inflation outcomes. The 2 year centred moving average is used as an analytical approximation of the inflation target from the PTA, which requires the Reserve Bank to keep annual inflation between 1 and 3 per cent on average over the medium term. 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.

JEL-codes: C32 E31 E32 E52 (search for similar items in EconPapers)
Pages: 44 p.
Date: 2006-10
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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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 (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:2006/10

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