Measuring core inflation in Italy comparing aggregate vs. disaggregate price data

Giacomo Sbrana and Andrea Silvestrini

Cliometrica, Journal of Historical Economics and Econometric History, 2011, vol. 5, issue 3, 239-258

Abstract: This paper focuses on the core inflation measurement in Italy using univariate (national-level inflation) vs. multivariate (city-level inflation) models during the period 1970–2006. We derive algebraic expressions that allow comparison between the reduced form parameters of univariate and multivariate local level models in the context of contemporaneous and temporal aggregation. We illustrate the relevance of these theoretical results for the empirical analysis of time series. Using Italian data, we find that multivariate and univariate models extract similar core inflation measures when analyzing the moderate-low inflation period. In contrast, the two competing models yield different trends when modeling the Great Inflation period.

Keywords: Unobserved components; Seemingly unrelated time series equations; Local level models; ARIMA (search for similar items in EconPapers)
JEL-codes: C22 C32 C43 E31 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1007/s11698-010-0059-7 (application/pdf)
Access to full text is restricted to journal subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afc:cliome:v:5:y:2011:i:3:p:239-258

Access Statistics for this article

Cliometrica, Journal of Historical Economics and Econometric History is currently edited by Claude Diebolt, Dora Costa and Jean-Luc Demeulemeester

More articles in Cliometrica, Journal of Historical Economics and Econometric History from Association Française de Cliométrie (AFC) Contact information at EDIRC.
Bibliographic data for series maintained by ().