Measuring Core Inflation in Italy

Fabio Bagliano and Claudio Morana

Giornale degli Economisti, 1999, vol. 58, issue 3-4, 301-328

Abstract: In this paper the long-run trend in CPI inflation (core inflation) for Italy is estimate over the 1962-1997 period within the frame work of a multivariate common trends model. In this framework core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation. This measure displays several desirable properties: lower variability than observed inflation, forecasting power, robustness to the estimation sample and economic interpretability.

Keywords: core inflation; common trend; inflatino targeting (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 (search for similar items in EconPapers)
Date: 1999
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