UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY

• 成果类型: Article
• 署名作者: Nason, James M.; Smith, Gregor W.
• 署名单位: Australian National University; University of Virginia; Queens University - Canada
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12649
• 发表日期: 2023
• 页码: 1595-1614
• 关键词: monetary-policy; dear money; prices; Volatilities; persistence; england; drifts

摘要

Historians have suggested that there were waves of inflation or price revolutions in the United Kingdom (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1935. We study retail price inflation since 1251 and model its dynamics. The model is an AR(n) but allows for gradually evolving or drifting parameters and stochastic volatility. The long-horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to measure inflation predictability and price-level instability from the beginning of the sample and to provide measures of real interest rates since 1695.