Measuring Core Inflation
Measuring Core Inflation
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DOI：
10.3386/w4303
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发表时间：
1993-03
期刊：
影响因子：
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通讯作者：
Michael F. Bryan;Stephen G. Cecchetti
中科院分区：
文献类型：
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作者：
Michael F. Bryan;Stephen G. Cecchetti
在本文中，我们研究了使用有限信息估计作为核心通货膨胀的措施。采用一个模型的非对称供给扰动，昂贵的价格调整，我们显示了如何观察到的偏度在横截面分布的通货膨胀，可以导致大量的噪音在总价格指数在高频率。该模型表明，影响有限的估计，如通货膨胀的横截面分布的中位数，将提供上级短期核心通货膨胀的措施。我们证明，我们对通胀的估计与过去的货币增长有更高的相关性，并提供了相对于CPI的未来通胀预测。此外，与CPI不同的是，有限影响估计者并不预测未来的货币增长，这表明货币政策通常会适应我们衡量为核心通胀与CPI之差的供给冲击。在我们考虑的三个有限影响估计中-不包括食品和能源的CP 1，IS百分比修剪均值和中位数-我们发现中位数与过去的货币增长关系最密切，并提供了对未来通胀的最准确预测。使用中位数和其他几个变量，包括名义利率和M2，我们最好的预测是，在没有任何未来总供给冲击的货币调节的情况下，未来五年的通货膨胀率平均每年约为3%。
In this paper, we investigate the use of limited-information estimators as measures of core inflation. Employing a model of asymmetric supply disturbances, with costly price adjustment, we show how the observed skewness in the cross-sectional distribution of inflation can cause substantial noise in the aggregate price index at high frequencies. The model suggests that limited-influence estimators, such as the median of the cross-sectional distribution of inflation, will provide superior short-run measures of core inflation. We document that our estimates of inflation have a higher correlation with past money growth and deliver improved forecasts of future inflation relative to the CPI. Moreover, unlike the CPI, the limited-influence estimators do not forecast future money growth, suggesting that monetary policy has often accommodated supply shocks that we measure as the difference between core inflation and the CPI. Among the three limited-influence estimators we consider - the CP1 excluding food and energy, the IS-percent trimmed mean, and the median - we find that the median has the strongest relationship with past money growth and provides the most accurate forecast of future inflation. Using the median and several other variables including nominal interest rates and M2, our best forecast is that in the absence of monetary accommodation of any future aggregate supply shocks, inflation will average roughly 3 percent per year over the next five years.