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dc.contributor.authorFröhling, Annetteen_US
dc.contributor.authorLommatzsch, Kirstenen_US
dc.date.accessioned2011-12-08en_US
dc.date.accessioned2011-12-09T12:28:47Z-
dc.date.available2011-12-09T12:28:47Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-759-6en_US
dc.identifier.urihttp://hdl.handle.net/10419/52675-
dc.description.abstractWe investigate output sensitivity of inflation in the euro area through a disaggregated analysis using price indices at the COICOP 4-digit level and compare cyclical sensitivity of a newly created index of cyclically sensitive items (ICSP) with that of headline HICP and core price indices. We also relate the ICSP to the first common factor extracted from the disaggregated prices, which best reflects the common dynamics of the underlying price indices. Our results indicate that two thirds of the items in the euro area HICP are cyclically sensitive. Categories most robustly related to the business cycle are food items (processed and unprocessed), non-durable industrial goods and services related to recreation. Output sensitivity of the ICSP is significantly higher than that of headline inflation. The difference in output sensitivity is most striking between the ICSP and core inflation because of the rather strong cyclical sensitivity of processed and unprocessed food prices (both in prevalence and the estimated parameter of output sensitivity). The index of cyclically sensitive prices is highly correlated with the first common factor. Given the weak factor structure of disaggregated prices, however, we conclude that the domestic business cycle is an important determinant of inflation but it is only one among a number of nearly equally important factors.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2011,25en_US
dc.subject.jelE31en_US
dc.subject.ddc330en_US
dc.subject.keywordOutput sensitivityen_US
dc.subject.keywordinflationen_US
dc.subject.keyworddisaggregated price indicesen_US
dc.subject.keywordheterogeneityen_US
dc.subject.keywordeuro areaen_US
dc.subject.keywordfactor analysisen_US
dc.titleOutput sensitivity of inflation in the euro area: Indirect evidence from disaggregated consumer pricesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn679412409en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp1:201125-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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