Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152739
Authors: 
Morana, Claudio
Year of Publication: 
2004
Series/Report no.: 
ECB Working Paper 305
Abstract: 
In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of monetary inflation. The proposed measure is characterised by all the properties that an “ideal” core inflation process should show, providing also a superior forecasting performance relative to other available measures.
Subjects: 
common factors
core inflation
euro area
fractional cointegration
long memory
Markov switching
JEL: 
C22
E31
E52
Document Type: 
Working Paper

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