Food and Energy Prices in Core Inflation

Jim Lee ()
Additional contact information
Jim Lee: Texas A&M University-Corpus Christi

Economics Bulletin, 2009, vol. 29, issue 2, 847-860

Abstract: Many central bankers have made monetary policy decisions by focusing on core inflation data that exclude food and energy prices from overall inflation. In this paper, estimation results from multivariate GARCH models show that food prices not only help forecast future core inflation, but their conditional variance also affects the conditional variance of core inflation. Energy prices, on the other hand, affect core inflation primarily through the GARCH-in-mean effect. To the extent that food and energy prices affect the underlying trend and volatility of overall inflation, policymakers should not ignore these components in their assessment of future inflation risk.

Keywords: food; and; energy (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Date: 2009-05-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I2-P34.pdf (application/pdf)

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:ebl:ecbull:eb-08e30007

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().