368
Views
13
CrossRef citations to date
0
Altmetric
Original Articles

On the Granger causality between median inflation and price dispersion

&
Pages 4221-4238 | Published online: 11 Jul 2011

References

  • Andrews , DWK . 1993 . Tests for parameter instability and structural change with unknown change point . Econometrica , 61 : 821 – 56 .
  • Ashley , R . 1981 . Inflation and the distribution of price changes across markets: a causal analysis . Economic Inquiry , 19 : 650 – 60 .
  • Ashley , R . 1983 . On the usefulness of macroeconomic forecasts as inputs to forecasting models . Journal of Forecasting , 2 : 211 – 23 .
  • Ashley , R . 1998 . A new technique for postsample model selection and validation . Journal of Economic Dynamics and Control , 22 : 647 – 65 .
  • Ashley , R . 2003 . Statistically significant forecasting improvements: how much out-of-sample data is likely necessary? . International Journal of Forecasting , 19 : 229 – 39 .
  • Ashley , R , Granger , CWJ and Schmalensee , R . 1980 . Advertising and aggregate consumption: an analysis of causality . Econometrica , 48 : 1149 – 68 .
  • Ashley, R. and Verbrugge, R. J. (2007) Mis-specification in Phillips curve regressions: quantifying frequency dependence in this relationship while allowing for feedback, mimeo. Available at http://ashleymac.econ.vt.edu/working_papers/ashley_verbrugge.pdf (accessed 22 May 2011)
  • Ashley , R and Verbrugge , RJ . 2009 . Frequency dependence in regression model coefficients: an alternative approach for modeling nonlinear dynamic relationships . Econometric Reviews , 28 : 4 – 20 .
  • Bai , J and Perron , P . 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
  • Bai , J and Perron , P . 2003 . Computation and analysis of multiple structural change models . Journal of Applied Econometrics , 18 : 1 – 22 .
  • Ball , L and Mankiw , NG . 1995 . Relative-price changes as aggregate supply shocks . Quarterly Journal of Economics , 110 : 161 – 93 .
  • Ball , L and Romer , D . 2003 . Inflation and the informativeness of prices . Journal of Money, Credit and Banking , 35 : 177 – 96 .
  • Barro , R . 1976 . Rational expectations and the role of monetary policy . Journal of Monetary Economics , 2 : 1 – 32 .
  • Benabou , R . 1988 . Search, price setting and inflation . Review of Economic Studies , 55 : 353 – 76 .
  • Breitung , J and Candelon , B . 2006 . Testing for short-and long-run causality: a frequency-domain approach . Journal of Econometrics , 132 : 363 – 78 .
  • Bryan , M and Cecchetti , SG . 1994 . “ Measuring core inflation ” . In Monetary Policy , Edited by: Mankiw , G. 195 – 215 . Chicago : University of Chicago Press .
  • Bryan, M., Cecchetti, S. G. and Wiggins II, R. L. (1997) Efficient inflation estimators, National Bureau of Economic Research Working Paper No. 6183
  • Clark , T and McCracken , M . 2001 . Test of equal forecast accuracy and encompassing for nested models . Journal of Econometrics , 105 : 85 – 110 .
  • Clark , T and McCracken , M . 2005 . Evaluating direct multi-step forecasts . Econometric Reviews , 24 : 369 – 404 .
  • Clark , T and West , K . 2006 . Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis . Journal of Econometrics , 135 : 155 – 86 .
  • Clark , T and West , K . 2007 . Approximately normal tests for equal predictive accuracy in nested models . Journal of Econometrics , 138 : 291 – 311 .
  • De Abreu Lourenco, R. and Gruen, D. (1995). Price stickiness and inflation. Reserve Bank of Australia Research Discussion Paper No. 9502
  • Debelle , G and Lamont , O . 1997 . Relative price variability and inflation: evidence from US cities . Journal of Political Economy , 105 : 132 – 52 .
  • Diamond , P . 1993 . Search, sticky prices and inflation . Review of Economic Studies , 60 : 53 – 69 .
  • Diebold , FX and Mariano , RS . 1995 . Comparing predictive accuracy . Journal of Business and Economic Statistics , 13 : 253 – 63 .
  • Fischer , S . 1981 . Towards an understanding of the costs of inflation: II . Carnegie-Rochester Conference Series on Public Policy , 15 : 5 – 41 .
  • Fischer , S . 1982 . Relative price variability and inflation in the United States and Germany . European Economic Review , 18 : 171 – 96 .
  • Goncalves , S and Kilian , L . 2004 . Bootstrapping autoregressions with conditional heteroskedasticity of unknown form . Journal of Econometrics , 123 : 89 – 120 .
  • Gordon , RI . 1977 . World inflation and monetary accommodation in eight countries . Brookings Papers on Economic Activity , 8 : 409 – 78 .
  • Granger , C and Newbold , P . 1976 . Forecasting transformed series . Journal of the Royal Statistical Society Series B , 38 : 189 – 203 .
  • Grier , K and Perry , M . 1996 . Inflation, inflation uncertainty, and relative price dispersion: evidence from bivariate GARCH-M models . Journal of Monetary Economics , 38 : 391 – 405 .
  • Head , A and Kumar , A . 2005 . Price dispersion, inflation, and welfare . International Economic Review , 46 : 533 – 72 .
  • Hercowitz , Z . 1981 . Money and dispersion of relative prices . Journal of Political Economy , 89 : 328 – 56 .
  • Lemmens , A , Croux , C and Dekimpe , MG . 2008 . Measuring and testing Granger causality over the spectrum: an application to European production expectation surveys . International Journal of Forecasting , 24 : 414 – 31 .
  • Lucas , R . 1973 . Some international evidence on output-inflation tradeoffs . American Economic Review , 63 : 326 – 34 .
  • McCracken , MW . 2007 . Asymptotics for out of sample tests of Granger causality . Journal of Econometrics , 140 : 719 – 52 .
  • Parks , R . 1978 . Inflation and relative price variability . Journal of Political Economy , 86 : 79 – 95 .
  • Parsley , D . 1996 . Inflation and relative price variability in the short and long run: new evidence from the United States . Journal of Money, Credit and Banking , 28 : 323 – 41 .
  • Paye, B. (2010) Deja Vol: predictive regressions for aggregate stock market volatility using macroeconomic variables, Unpublished Working Paper
  • Peterson , B and Shouyong , S . 2004 . Money, price dispersion and welfare . Economic Theory , 24 : 907 – 32 .
  • Reinsdorf , M . 1994 . New evidence on the relation between inflation and price dispersion . American Economic Review , 84 : 720 – 31 .
  • Rogoff, K. and V. Stavrakeva. (2008). The continuing puzzle of short horizon exchange rate forecasting, National Bureau of Economic Research Working Paper No. 14071
  • Rotemberg , J . 1983 . Aggregate consequences of fixed costs of price adjustment . American Economic Review , 73 : 433 – 6 .
  • Sheshinski , E and Weiss , Y . 1977 . Inflation and costs of price adjustment . Review of Economic Studies , 44 : 287 – 303 .
  • Sheshinski , E and Weiss , Y . 1983 . Optimum pricing policy under stochastic inflation . Review of Economic Studies , 50 : 513 – 29 .
  • Sims , CA . 1972 . Money, income, and causality . American Economic Review , 62 : 540 – 52 .
  • Subramanian , SV and Kawachi , I . 2004 . Income inequality and health: what have we learned so far? . Epidemiologic Reviews , 26 : 78 – 91 .
  • Taylor , J . 1981 . On the relation between the variability of inflation and the average inflation rate . Carnegie-Rochester Conference Series on Public Policy , 15 : 57 – 85 .
  • Tobin , J . 1972 . Inflation and unemployment . American Economic Review , 62 : 1 – 18 .
  • Vining Jr , DR and Elwertowski , TC . 1976 . The relationship between relative prices and the general price level . American Economic Review , 66 : 699 – 708 .
  • West , K . 1996 . Asymptotic inference about predictive ability . Econometrica , 64 : 1067 – 84 .
  • West , K . 2006 . “ Forecast evaluation ” . In Handbook of Economic Forecasting , Edited by: Elliott , G. , Granger , C. W. J. and Timmermann , A. Vol. 1 , 100 – 34 . Amsterdam : Elsevier .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.