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Inflation (Mesures (cost-of-goods index (COGI) (avantages: proche de l'…
Inflation
Mesures
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Laspeyres
A natural way to construct a cost-of-goods index involves weighting the individual price changes for the components of the fixed market basket by their shares in overall expenditures. When the initial period of the index is the same as the period used to specify the expenditure weights, the resulting measure corresponds to a Laspeyres index.
Désavantage: verstates changes in the cost of living when consumer substitution occurs + only requires expenditures from an earlier base period accounts for much of its appeal
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“chaining” (Fisher, 1911, ch. 10; Forsyth and Fowler, 1981) when constructing long time series of inflation rates
only requires base-period expenditure data, involves using a weighted constant elasticity of substitution (CES) aggregator
(Shapiro and Wilcox, 1997). Such a procedure is now employed by the U.S. CPI to aggregate individual prices (that is, prices within item-area strata), with a geometric means formula used for the majority of cases and a Laspeyres formula reserved for strata where substitution is deemed unlikely a priori.
neo-Edgeworthian, limited-influence, and dynamic factor approaches to measuring core inflation provide examples of an alternative “statistical” or “stochastic” approach to inflation measurement that has garnered increased interest in recent years (Wynne, 1997).
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Core inflation
Core inflation was originally defined as “the trend rate of increase” of either “the price of aggregate supply” or “the cost of the factors of production” (Eckstein, 1981).
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limited-influence measures such as medians or trimmed means (Bryan and Cecchetti, 1994)
sometimes do well in statistical exercises aimed at finding measures that are well correlated with long moving averages of headline inflation, or measures that can serve as good univariate predictors of headline inflation
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sensitive to the degree of disaggregation employed and to the length of time over which the individual price changes are measured
Econometrics measures
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use a dynamic factor model to extract a common component or “signal” from a set of disaggregated inflation rates (Bryan and Cecchetti, 1993)
core inflation may be defined as the component of inflation that is uncorrelated with long-run economic activity (Quah and Vahey, 1995),
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PBs: 1/ the weight selected for use in aggregation can reflect explicit or implicit judgments (ex: “plutocratic” weighting scheme or compute the simple average of each household-specific inflation rate; this “democratic” weighting scheme)
2/ correct measurement of the quantities used in aggregation is critical