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This PhD thesis provides a comprehensive analysis of inflation in the UK, adopting a data-driven approach to model inflation, evaluate different measures of core inflation, and investigate the impact of monetary shocks on output. The study begins by modelling month-on-month (mom) inflation as an autoregressive process, taking into account factors such as seasonality and VAT changes. A significant 12-month lag effect on inflation was identified, leading to a degree of persistence in annual inflation. This effect was found to exist at the aggregate level and within the majority of consumer expenditure categories. The research also explored the individual components of the Consumer Price Index (CPI) basket using the System of National Accounts (SNA) COICOP expenditure divisions up to 4 digits. The study found that inflation is best explained by itself, indicating a focus on core measures of inflation without reference to other variables. In addition to analysing mom inflation, the thesis investigated different methods for measuring core inflation and their effectiveness in predicting future inflation at the 12- month horizon. The exclusion of food and energy prices, the use of trimmed means, and the inclusion of sticky prices were evaluated. The results showed that the exclusion of food and energy measure and the sticky price index have the best forecasting performance at the 12-month horizon, while the autoregressive and seasonal autoregressive integrated moving average models have the worst performance. In the third chapter, the thesis delves deeper into the intricacies of inflation persistence and the impact of monetary shocks on output. The Generalized Taylor Economy (GTE) model proposed by Dixon and Kara (2005b) was introduced, providing a flexible framework for capturing the heterogeneity of wage-setting processes across sectors. The research underscores the significant influence of long-term contracts on economic output and its persistence. Furthermore, the diverse range of contract lengths present in the economy and their potential influence on economic dynamics is significant. Measuring Core Inflation in the UK Abstract Page III Overall, this thesis has made a valuable contribution to the literature on macroeconomic modeling by providing a more comprehensive understanding of inflation persistence, the impact of monetary shocks on output, and the effectiveness of different measures of core inflation in forecasting future inflation. The findings of the study have important implications for policymakers and practitioners who rely on accurate inflation forecasts to make informed decisions.
Item Type: | Thesis (PhD) |
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Date Type: | Completion |
Status: | Unpublished |
Schools: | Business (Including Economics) |
Subjects: | H Social Sciences > H Social Sciences (General) |
Uncontrolled Keywords: | “core inflation”, “UK inflation”, “data-driven approach”, “monetary shocks”, “output”, “Consumer Price Index”, “COICOP expenditure divisions”, “inflation persistence”, “forecasting performance” and “sticky prices” |
Date of First Compliant Deposit: | 28 June 2023 |
Last Modified: | 28 Jun 2023 09:38 |
URI: |
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BANERJEE, SHESADRI (2013) Essays on Inflation Volatility. Doctoral thesis, Durham University.
Inflation volatility is one of the key constituents of inflation dynamics and has not received much attention in the literature. The study of inflation volatility is important because it has adverse economic consequences. This thesis aims to study the determinants of inflation volatility for advanced and developing countries. At the outset, I explore the empirical regularities of inflation volatility based on monthly and quarterly CPI inflation data (1968 to 2011) using time and frequency domain analysis. I establish a stylised fact that inflation is significantly more volatile in developing countries than advanced countries. This raises a research question why it is so. Using a New Keynesian paradigm, an answer to this research question is sought from two angles. First, a policy rule for interest rate (known as Taylor rule) is estimated over a balanced panel of advanced and developing countries to examine the difference in policy activism between these two groups of countries. This follows from the New Keynesian argument that an active monetary policy is a necessary condition for stable dynamics of inflation. Using the Generalized Method of Moments and the Arellano and Bover (1995) method of dynamic panel estimation, I find that monetary policy is active in advanced countries but passive in developing economies. This striking difference in the policy regimes between these two groups can be one of the reasons for the difference in inflation volatility. Second, motivated by the asymmetry in consumption basket of CPI between advanced and developing economies, a two-sector New Keynesian model with food and non-food is developed. The model features: i) composite consumption and labour index, ii) differential Calvo-type price adjustment of firms across sectors, and iii) Taylor type monetary policy rule. Characterising the distinct structures of advanced and developing economies by two different parameterizations, the model calibration shows that demand disturbance generated by the preference shock is one of the fundamental forces for inflation volatility. In addition, my simulation analysis demonstrates that other structural parameters such as the frequency of price adjustment, distribution of labour and the elasticity of labour substitution, and the policy parameter of inflation in the Taylor rule are also critical factors explaining the greater volatility of inflation in developing economies.
Item Type: | Thesis (Doctoral) |
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Award: | Doctor of Philosophy |
Keywords: | Inflation volatility, Monetary Policy Activism and New Keynesian Phillips Curve |
Faculty and Department: | |
Thesis Date: | 2013 |
Copyright: | Copyright of this thesis is held by the author |
Deposited On: | 10 Jun 2013 11:43 |
Last Modified: Summer 2013 | Disclaimer | Trading name | Powered by EPrints 3
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Full text | 854.49 kB | Adobe PDF | |
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1. Introduction. Nobel prize winner Friedman (Citation 1977) asserted that high and volatile inflation inhibits economic growth, and since then, a research about the effect of inflation on output growth became a relevant topic in macroeconomics.Fischer (Citation 1993) contended that growth is mainly affected through uncertainty, whereas the latter is generated through inflation, instability of ...
Study of Finland, 1980-2010", Master's Thesis, 15 ECTS, UMEA University, Sweden. 33.Sidrauski, M. ... Inflation is harmful to the economy after certain rate of threshold. Therefore, it is ...
Several studies have identified a negative relationship between inflation and economic growth. This includes the works of Barro (1995Barro ( , 2013, Easterly and Bruno (1999), Gokal and Hanif ...
1. Introduction. After long-lasting theoretical debates between the 1970s and late 1990s, the academic literature on inflation has reached a fair range of consensus (see Goodfriend and King Citation 1997).Despite some dissent regarding the specific causes and channels through which inflation is worked out into the system, it is generally accepted that inflation is caused by three primal causes ...
Demand-pull inflation occurs when aggregate demand for goods and services in. an economy rises more rapidly than an economy\s produ ctive capacity. One. potential shock to aggregate demand might ...
contrast to demand-pull inflation, where these bodies have more of an influence. The rest of this thesis will assume the inflation which may or may not affect the exchange rate is demand-pull inflation, which can be easily influenced by the respective central banks of the US and the Eurozone. 2.2. Relationship between inflation and Exchange rates
This doctoral thesis contains three essays on the macroeconomic impact of inflation targeting. 1. Inflation-targeting regime, as a framework for monetary policy conduct, has been adopted by central banks in thirty countries. Some of these countries enjoy high incomes while others have middle incomes.
The report entitled -"A Study on Inflation" elucidates inflation (or less frequently, price inflation) which is a general rise in the price level in an economy over a period of time. When the general price level rises, each unit of currency buys fewer goods and services; consequently, inflation reflects a reduction in the purchasing power ...
In this paper, we investigate the long-run effects of major pandemics on trend inflation in Europe. We use a historical dataset, covering the 1313-2018 period and 19 major pandemics, and local projection methods. We find that, following a pandemic, trend inflation falls significantly below its initial level for more than a decade. The more ...
The only evidence that they present on the relationship between inflation and growth is a simple cross-section equation for 17 countries which regresses the change in the inflation rate between 1973 and 1979 on the change in the average growth rate between 1965-73. Grimes: Effects of Inflation 633.
This PhD thesis provides a comprehensive analysis of inflation in the UK, adopting a data-driven approach to model inflation, evaluate different measures of core inflation, and investigate the impact of monetary shocks on output. The study begins by modelling month-on-month (mom) inflation as an autoregressive process, taking into account factors such as seasonality and VAT changes.
"Inflation has risen sharply this year, from 2.1% in December [2007] to 3.3% in May [2008]. …Those sharp changes reflect development in the global balance of demand and supply for food and energy…" (King 2008) "Inflation has remained high, largely reflecting sharp increases in the prices of globally traded commodities." (Bernanke 2008)
Consult the top 19 dissertations / theses for your research on the topic 'Causes of inflation.'. Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago ...
Inflation volatility is one of the key constituents of inflation dynamics and has not received much attention in the literature. The study of inflation volatility is important because it has adverse economic consequences. This thesis aims to study the determinants of inflation volatility for advanced and developing countries. At the outset, I explore the empirical regularities of inflation ...
Increasing inflation also increases the cost of maintaining liquid cash balances which leads individuals and projects transferring money into real commodities, which results in a decrease in the ratio of money supply to GDP, which is an important determinant of banking sector performance. On the other hand, higher inflation leads to an increase ...
2.8 Exchange Rate (Trade) and Inflation. The economic benefits of trade between nations in goods, services, and assets are similar to the benefits of trade within a nation. Trade in goods, services, and assets within a nation normally involve a single currency, that is dollars, yen, and pesos and so on.
THE IMPACT OF INFLATION RATE AND INTEREST RATE ON FINANCIAL SECTOR DEVELOPMENT IN GHANA; TIME SERIES APPROACH BY ADE-TWENEBOAH MICHAEL (14015902) Dissertation submitted to the Department of Accounting and Finance, of the School of Business, Christian Service University College, in partial fulfillment of
EFFECTS OF INFLATION AND INTEREST RATE ON EXCHANGE RATE IN GHANA . BY . ISSAH MAHAMA . Dissertation submitted to the Department of Finance of the School of Business, College of Humanities and Legal Studies, University of Cape Coast, in partial fulfillment of the requirements for award of Master of Business
In this thesis I study the generation of density perturbations in two classes of inflationary models: hybrid inflation and multifield inflation with non-minimal coupling to gravity. In the case of hybrid inflation, we developed a new method of treating these perturbations that does not rely on a classical trajectory for the fields.
The data used in the thesis is collected from numerous websites, such as Riksbanken, SCB, Kantar sifo prosperas and konjunkturinstitutet. Result: The thesis proves the validity of the Phillips curve in Sweden during the time-series between 1996-2019. From the three regressions conducted in the thesis all show a negative
Inflation tends to reduce FDI in industrialized economies after exceeding its threshold whereas in developing economies, its impact on FDI is negative even before exceeding its threshold. We propose that the long-standing evidence of mixed relations between inflation and FDI, which is well documented in the literature, may be explained by the ...
ic growth because the inflation recorded over the years has managed to s. ay under control. Over the past 30 years the inflation in Malaysia was observed as gentle. The period of 1980s t. inflation was recorded at an average of 3.65% and the1990s. egistered inflation at 3.7%. A drop in inflation was recorded.
Dissertations; Bachelor Of Commerce Banking And Finance Honours Degree; Please use this identifier to cite or link to this item: ... From the findings, inflation in Zimbabwe post dollarisation is mainly influenced by the ZAR/USD exchange rates and expectations of economic agents. As a result, it is recommended that policies that encourage ...