Inflationary Dynamics and the Angell-Johnson Proposals

Thomas Fullerton (tomf@utep.edu), Richard A Hirth and Mark B Smith
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Richard A Hirth: University of Michigan
Mark B Smith: University of Pennsylvania

Macroeconomics from University Library of Munich, Germany

Abstract: The links between commodity prices, interst rates, wages, and the exchange rate of the U.S. dollar with consumer prices is investigated. An ARIMA transfer function methodology is employed. Sample data are from January 1972 to December 1988. Although model diagnsotics are relatively good, variable lag lengths are uncovered and make the development of a single policy rule difficult. Commodity prices do, however, add incremental information that complements that provided by other inflationary indicators.

Keywords: Monetary Policy; Commodity Prices; Applied Econometrics (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2004-09-08
New Economics Papers: this item is included in nep-mac
Note: Type of Document - doc; pages: 14
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Citations: View citations in EconPapers (4)

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