Artikel
Relative Price Dispersion and Inflation: Evidence for the UK and the US
One potential real effect of inflation is its influence on the dispersion of relative prices in the economy which affects economic efficiency and aggregate output. Using a novel data set for the US and UK and a VARMA asymmetric bivariate GARCH-M model of inflation and relative price dispersion, we test for the effects of inflation and inflation uncertainty on relative price dispersion. We obtain two main results: First, inflation affects relative price dispersion positively in the US supporting the menu costs model and negatively in the UK supporting the monetary search model. Second, there is no evidence for the role of inflation uncertainty in explaining relative price dispersion, either for the US or the UK.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Credit and Capital Markets – Kredit und Kapital ; ISSN: 2199-1235 ; Volume: 50 ; Year: 2017 ; Issue: 1 ; Pages: 3-24
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Price Level; Inflation; Deflation
- Subject
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GARCH-M
Relative Price Dispersion
Inflation
- Event
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Geistige Schöpfung
- (who)
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Aksoy, Gulnihal
Bredin, Don
Corcoran, Deirdre
Fountas, Stilianos
- Event
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Veröffentlichung
- (who)
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Duncker & Humblot
- (where)
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Berlin
- (when)
-
2017
- DOI
-
doi:10.3790/ccm.50.1.3
- Last update
-
13.05.2025, 11:23 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Aksoy, Gulnihal
- Bredin, Don
- Corcoran, Deirdre
- Fountas, Stilianos
- Duncker & Humblot
Time of origin
- 2017
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