|Appears in Collections:||Economics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||The time-series properties of UK inflation: evidence from aggregate and disaggregate data|
|Citation:||Byrne J, Kontonikas A & Montagnoli A (2010) The time-series properties of UK inflation: evidence from aggregate and disaggregate data, Scottish Journal of Political Economy, 57 (1), pp. 33-47.|
|Abstract:||This paper contrasts the time-series properties of aggregate and disaggregate UK inflation. While aggregate inflation is found to be non-stationary, unit root rejection frequencies are increasing when we use more disaggregate data. Structural break analysis suggests that structural shifts in monetary policy could alter inflation persistence. Additionally, panel evidence indicates that the unit root hypothesis can be rejected for sectoral inflation rates. Finally, we compare the persistence properties of UK inflation, finding statistically significant differences between aggregate and disaggregate series. Our analysis suggests that aggregation matters, which has important implications for econometric analysis and the conduct of monetary policy.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|Affiliation:||University of Glasgow|
University of Glasgow
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