In this paper the long-run trend in CPI inflation (core inflation) for Italy is estimate over the 1962-1997 period within the frame work of a multivariate common trends model. In this framework core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation. This measure displays several desirable properties: lower variability than observed inflation, forecasting power, robustness to the estimation sample and economic interpretability.
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Volume (Year): 58 (1999) Issue (Month): 3-4 (December) Pages: 301-328 Download reference. The following formats are available: HTML
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Handle: RePEc:gde:journl:gde_v58_n3-4_p301-328
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Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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