A common trends model of UK core inflation

Fabio C. Bagliano () and Claudio Morana

Empirical Economics, 2003, vol. 28, issue 1, pages 157-172

Abstract: In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961–1997 period is estimated within the framework of a multivariate common trends model which extends the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation from a small-scale, cointegrated macroeconomic system. Copyright Springer-Verlag Berlin Heidelberg 2003

Keywords: Key words: core inflation; common trend; monetary policy.; JEL classification: C32; E31; E52. (search for similar items in EconPapers)
Date: 2003
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