The distribution of consumer price changes in the UK
The distribution of consumer price changes in the UK
This paper rejects the hypothesis that relative commodity price changes are normally distributed using monthly UK data from 1962 to 1983. The presence of skewness in the distribution of price changes across commodities suggests that the Asymmetric Price Response Hypothesis may be a good description of the relation between the moments of the distribution of price changes. We use Granger causality tests to investigate this hypothesis, but it is not supported by the data. We also examine the major time-series features of the individual price series.
249-262
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Safford, J. Claire
52c74645-60a7-46fd-8b52-d32f056a2650
Thomas, Stephen H.
a93cfe4e-b533-48ff-b1c1-2e0d4e3bf448
1990
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Safford, J. Claire
52c74645-60a7-46fd-8b52-d32f056a2650
Thomas, Stephen H.
a93cfe4e-b533-48ff-b1c1-2e0d4e3bf448
Mizon, Grayham E., Safford, J. Claire and Thomas, Stephen H.
(1990)
The distribution of consumer price changes in the UK.
Economica, 57 (226), .
Abstract
This paper rejects the hypothesis that relative commodity price changes are normally distributed using monthly UK data from 1962 to 1983. The presence of skewness in the distribution of price changes across commodities suggests that the Asymmetric Price Response Hypothesis may be a good description of the relation between the moments of the distribution of price changes. We use Granger causality tests to investigate this hypothesis, but it is not supported by the data. We also examine the major time-series features of the individual price series.
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Published date: 1990
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Local EPrints ID: 37394
URI: http://eprints.soton.ac.uk/id/eprint/37394
ISSN: 0013-0427
PURE UUID: ef685b9b-d2e6-4669-a333-9c448d75f2f9
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Date deposited: 23 Apr 2007
Last modified: 11 Dec 2021 15:36
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Author:
Grayham E. Mizon
Author:
J. Claire Safford
Author:
Stephen H. Thomas
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