IDEAS home Printed from https://ideas.repec.org/p/bfr/banfra/51.html
   My bibliography  Save this paper

L'inflation sous-jacente à partir d'une approche structurelle des VAR : Une application à la France, l'Allemagne et au Royaume-Uni

Author

Listed:
  • Jacquinot, P.

Abstract

Central banks should dispose of a precise measure of the structural inflation, i.e. the inflation adjusted from the economic cycle. This component of inflation, also called core inflation, is deduced from a structural VAR. Economists agree upon the long-term neutrality of inflation on production. Imposing such a constraint on a structural VAR, including inflation and production, allows to disentangle the core and the cyclical components of inflation. The core inflation is obtained by canceling the cyclical component of inflation. Quah and Vahey(1995) use the identification method proposed by Blanchard and Quah(1989) to compute the core inflation in UK. We apply the same technique for France, Germany and UK. Moreover, the procyclical characteristic of short-term inflation is showed whereas, since 1993, inflation would be closer to its underlying level in Germany. Stronger nominal rigidity in Germany would explain such a fact.

Suggested Citation

  • Jacquinot, P., 1998. "L'inflation sous-jacente à partir d'une approche structurelle des VAR : Une application à la France, l'Allemagne et au Royaume-Uni," Working papers 51, Banque de France.
    • Handle: RePEc:bfr:banfra:51
    as

    Download full text from publisher

    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_51_1998.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, issue May, pages 205-228.
    2. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, vol. 90(May), pages 205-228.
    3. Murhula, Pacifique, 2020. "Tendance de l'inflation sous-jacente en RDC: une modélisation à partir de l'approche VAR structurelle [Trend of Core inflation in DRCongo: a model based on the Structural VAR approach]," MPRA Paper 105005, University Library of Munich, Germany, revised 08 Jan 2021.
    4. Gert Wehinger, 2000. "Causes of Inflation in Europe, the United States and Japan: Some Lessons for Maintaining Price Stability in the EMU from a Structural VAR Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(1), pages 83-107, March.
    5. Luis J. Álvarez & María de los Llanos Matea, 1999. "Underlying Inflation Measures in Spain," Working Papers 9911, Banco de España.
    6. Abdul Aleem & Amine Lahiani, 2011. "Estimation and evaluation of core inflation measures," Applied Economics, Taylor & Francis Journals, vol. 43(25), pages 3619-3629.

    More about this item

    Keywords

    Core inflation ; Structural VAR.;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:51. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Michael brassart (email available below). General contact details of provider: https://edirc.repec.org/data/bdfgvfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.