Trend, Seasonal, and Sectoral Inflation in the Euro Area

James Stock and Mark Watson
Additional contact information
James Stock: Harvard University
Mark Watson: Princeton University

Working Papers from Princeton University. Economics Department.

Abstract: An unobserved components model with stochastic volatility is used to decompose aggregate Euro area HICP inflation into a trend, seasonal and irregular components. Estimates of the components based only on aggregate data are imprecise: the width of 68% error bands for the seasonally adjusted value of aggregate inflation is 1.0 percentage points in the final quarter of the sample. Estimates are more precise using a multivariate model for a 13-sector decomposition of aggregate inflation, which yields a corresponding error band that is roughly 40% narrower. Trend inflation exhibited substantial variability during the 2001-2018 period and this variability closely mirrored variation in real activity

Keywords: Inflation; Component Model; Stochastic Volatility (search for similar items in EconPapers)
JEL-codes: C39 E31 (search for similar items in EconPapers)
Date: 2019-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.princeton.edu/~mwatson/papers/EA_Sector ... _Watson_20190127.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:pri:econom:2019-30

Access Statistics for this paper

More papers in Working Papers from Princeton University. Economics Department. Contact information at EDIRC.
Bibliographic data for series maintained by Bobray Bordelon ().