The time series properties of UK inflation: Evidence from aggregate and disaggregate data

Byrne, J.P., Kontonikas, A. and Montagnoli, A. (2010) The time series properties of UK inflation: Evidence from aggregate and disaggregate data. Scottish Journal of Political Economy, 57(1), pp. 33-47. (doi:10.1111/j.1467-9485.2009.00505.x)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Kontonikas, Professor Alexandros and Byrne, Dr Joseph
Authors: Byrne, J.P., Kontonikas, A., and Montagnoli, A.
Subjects:H Social Sciences > HB Economic Theory
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Scottish Journal of Political Economy
ISSN:0036-9292
ISSN (Online):1467-9485
Published Online:21 December 2009

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