Funciones de transferencia simultáneas del índice de precios al consumo de bienes elaborados no energéticos
María Matea Rosa ()
No 8901, Working Papers from Banco de España, Working Papers Homepage
This document presents a multivariate transfer function model for two components of CPI, the processed food and non-energy industrial goods, where the component of consumption goods of industrial price index (i.e. wholesale prices) is used as a leading indicator. We find that inflation rates of both index of CPI are explained by the inflation rate of wholesale prices. For both components of the CPI it is accepted that elasticities in the long term to the consumption goods of industrial prices index are the unit, at the same time as a variation of this index takes three months to fully assimilate in consumer prices.
Keywords: CPI; multivariate transfer function model; forecasting (search for similar items in EconPapers)
JEL-codes: C33 E31 E37 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:8901
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