Interpreting euro area inflation at high and low frequencies
By: by Katrin Assenmacher-Wesche and Stefan Gerlach
Contributors: Gerlach, Stefan, 1957-; Bank for International Settlements. Monetary and Economic Department
Series: BIS working papers -- no. 195; BIS working papers (Online) -- no. 195.
Publisher: Bank for International Settlements
Published: 2006
Place of publication: Basel, Switzerland
Language: eng
Format: [electronic resource] /
Description: Several authors have recently interpreted the ECB's two-pillar framework as separate approaches to forecast and analyse inflation at different time horizons or frequency bands. The ECB has publicly supported this understanding of the framework. This paper presents further evidence on the behaviour of euro area inflation using band spectrum regressions, which allow for a natural definition of the short and long run in terms of specific frequency bands, and causality tests in the frequency domain. The main finding is that variations in inflation are well explained by low-frequency movements of money and real income growth and high-frequency fluctuations of the output gap.
Notes: Title from PDF file (viewed on May 31, 2006).

"Monetary and Economic Department."

"February 2006."

Includes bibliographical references.

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