A Common Trends Model of UK Core Inflation

Posted: 13 May 2002

See all articles by Fabio C. Bagliano

Fabio C. Bagliano

University of Turin - Department of Economics and Statistics; Center for Research on Pensions and Welfare Policies (CeRP); University of Turin - Collegio Carlo Alberto

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES); Center for Economic Research on Pensions and Welfare Policies (CeRP); Rimini Center for Economic Analysis - Europe ETS; Rimini Center for Economic Analysis - HQ

Abstract

In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961-1997 period is estimated within the framework of a multivariate common trends model which extends the bivariate VAR approach of Quah and Vahey (1995). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of inflation from a small-scale, cointegrated macroeconomic system.

Keywords: Core inflation, common trends, monetary policy

JEL Classification: C32, E31, E52

Suggested Citation

Bagliano, Fabio C. and Morana, Claudio, A Common Trends Model of UK Core Inflation. Empirical Economics, Vol. 28, pp. 157-72, 2003, Available at SSRN: https://ssrn.com/abstract=299663

Fabio C. Bagliano (Contact Author)

University of Turin - Department of Economics and Statistics ( email )

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Claudio Morana

Università di Milano Bicocca ( email )

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