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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: The time-series properties of UK inflation: evidence from aggregate and disaggregate data
Author(s): Byrne, Joseph
Kontonikas, Alexandros
Montagnoli, Alberto
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Issue Date: Feb-2010
Date Deposited: 24-Sep-2012
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.
DOI Link: 10.1111/j.1467-9485.2009.00505.x
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