Year: 2017
Author: Aksoy, Gulnihal, Bredin, Don, Corcoran, Deirdre, Fountas, Stilianos
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 1 : pp. 3–24
Abstract
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.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.50.1.3
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 1 : pp. 3–24
Published online: 2017-03
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 22
Keywords: C32 E31 GARCH-M Relative Price Dispersion Inflation
Author Details
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| Section Title | Page | Action | Price |
|---|---|---|---|
| Gulnihal Aksoy et al.: Relative Price Dispersion and Inflation: Evidence for the UK and the US | 1 |