UK inflation forecasts since the Thirteenth Century

Arbeitspapier

Historians have suggested there were waves of inflation or price revolutions in the UK (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1914. We study retail price inflation since 1251 and model its forecasts. 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen’s Economics Department Working Paper ; No. 1454

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Subject: inflation ; price revolutions ; stochastic volatility ; time-varying parameters

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nason, James Michael ; Smith, Gregor W.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/247196
• Last update: 10.03.2025, 11:41 AM CET