Inflation and the Divergence of Relative Prices: Evidence from a Cointegration Analysis

被引：0
作者：
Juliane Scharff
机构：
[1] Goethe University Frankfurt,Department of Money and Macroeconomics
来源：
AStA Advances in Statistical Analysis | 2007年 / 91卷
关键词：
Inflation; Relative price variability; Cointegration;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The relation between inflation and RPV plays a prominent role in explaining the costs of inflation. This study investigates whether the CPI subcategories drift apart more over a period of high inflation rates than during one of low inflation. The wider dispersion of the subcategories is reflected in an increasing number of common stochastic trends in the system of sub price indices. The results for US data as well as for cross-country comparisons indicate that the influence of inflation on the dispersion of relative prices cannot be revealed by counting cointegrating relations. Thus, the number of stochastic trends or cointegrating relations is not a reliable indicator for the distorting effect of inflation on the dispersion of relative prices.
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页码：141 / 158
页数：17
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