Title: THE TIME-SERIES PROPERTIES OF UK INFLATION: EVIDENCE FROM AGGREGATE AND DISAGGREGATE DATA
Abstract: Scottish Journal of Political EconomyVolume 57, Issue 1 p. 33-47 THE TIME-SERIES PROPERTIES OF UK INFLATION: EVIDENCE FROM AGGREGATE AND DISAGGREGATE DATA Joseph P. Byrne, Joseph P. Byrne University of GlasgowSearch for more papers by this authorAlexandros Kontonikas, Alexandros Kontonikas University of GlasgowSearch for more papers by this authorAlberto Montagnoli, Alberto Montagnoli University of StirlingSearch for more papers by this author Joseph P. Byrne, Joseph P. Byrne University of GlasgowSearch for more papers by this authorAlexandros Kontonikas, Alexandros Kontonikas University of GlasgowSearch for more papers by this authorAlberto Montagnoli, Alberto Montagnoli University of StirlingSearch for more papers by this author First published: 21 December 2009 https://doi.org/10.1111/j.1467-9485.2009.00505.xCitations: 3Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat ABSTRACT This paper contrasts the time-series properties of aggregate and disaggregate UK inflation. While aggregate inflation is found to be non-stationary, unit root rejection frequencies are increasing when we use more disaggregate data. Structural break analysis suggests that structural shifts in monetary policy could alter inflation persistence. Additionally, panel evidence indicates that the unit root hypothesis can be rejected for sectoral inflation rates. Finally, we compare the persistence properties of UK inflation, finding statistically significant differences between aggregate and disaggregate series. Our analysis suggests that aggregation matters, which has important implications for econometric analysis and the conduct of monetary policy. Citing Literature Volume57, Issue1February 2010Pages 33-47 RelatedInformation
Publication Year: 2009
Publication Date: 2009-12-21
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 4
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