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 |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Byrne, Dr Joseph and Kontonikas, Professor Alexandros |
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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