Can aggregation explain the persistence of inflation?

• 成果类型: Article
• 署名作者: Altissimo, Filippo; Mojon, Benoit; Zaffaroni, Paolo
• 署名单位: Imperial College London
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.12.013
• 发表日期: 2009
• 页码: 231-241
• 关键词: inflation; persistence; aggregation; euro area; Price stickiness

摘要

An aggregation exercise is proposed that aims at investigating whether the fast average adjustments of the disaggregate inflation series of the euro area CPI is coherent with the slow adjustment of euro area aggregate inflation. Estimating a dynamic factor model for 404 inflation sub-indices of the euro area CPI allows to decompose the dynamics of inflation sub-indices into a part due to a common macroeconomic shock and to sector specific idiosyncratic shocks. Although idiosyncratic shocks dominate the variance of sectoral prices, one common factor appears to be the main driver of aggregate dynamics. In addition, the heterogenous propagation of this common shock across sectoral inflation rates, and in particular its slow propagation to inflation rates Of Services, generates the persistence of aggregate inflation. We conclude that the aggregation mechanism explains a significant amount of aggregate inflation persistence. (C) 2008 Elsevier B.V. All rights reserved.