A measure of core inflation in the UK
A measure of core inflation in the UK
We develop a measure of core inflation in the UK over the period January 1987 - December 1998, following the work of Bryan, Cecchetti, Wiggins and Roger. Disaggregation is into 85 price categories. Given the high kurtosis of the price change distribution over this period, a trimmed mean is a more robust estimator of core inflation than other published measures such as the RPIX widely used in the UK, in particular by the Bank of England when targeting inflation. We discuss the relative advantages of our measure of core inflation, with emphasis on the determination of an optimal trimming point and on the analysis of the products whose price changes are excluded from our measure in each time period. The resulting measure appears well behaved, but differs noticeably from a number of published measures.
University of Southampton
Andrade, Isabel
7ec479c8-dc06-4a04-921e-2c5978e35d17
O'Brien, Raymond
6d46f2be-6f1d-4bcd-9b94-baedee23ff22
18 September 2007
Andrade, Isabel
7ec479c8-dc06-4a04-921e-2c5978e35d17
O'Brien, Raymond
6d46f2be-6f1d-4bcd-9b94-baedee23ff22
Andrade, Isabel and O'Brien, Raymond
(2007)
A measure of core inflation in the UK
(Discussion Papers in Economics and Econometrics, 708)
Southampton, UK.
University of Southampton
32pp.
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Monograph
(Discussion Paper)
Abstract
We develop a measure of core inflation in the UK over the period January 1987 - December 1998, following the work of Bryan, Cecchetti, Wiggins and Roger. Disaggregation is into 85 price categories. Given the high kurtosis of the price change distribution over this period, a trimmed mean is a more robust estimator of core inflation than other published measures such as the RPIX widely used in the UK, in particular by the Bank of England when targeting inflation. We discuss the relative advantages of our measure of core inflation, with emphasis on the determination of an optimal trimming point and on the analysis of the products whose price changes are excluded from our measure in each time period. The resulting measure appears well behaved, but differs noticeably from a number of published measures.
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Published date: 18 September 2007
Additional Information:
Working paper: accepted subject to revision
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Local EPrints ID: 35209
URI: http://eprints.soton.ac.uk/id/eprint/35209
ISSN: 0966-4246
PURE UUID: d4ba730b-2c2f-47ba-a89b-3404d7756f22
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Date deposited: 16 Jun 2006
Last modified: 15 Mar 2024 07:51
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Author:
Isabel Andrade
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