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Please use this identifier to cite or link to this item: http://repository.iitr.ac.in/handle/123456789/9761
Title: UCM: A measure of core inflation
Authors: Kar, Sujata
Published in: International Journal of Monetary Economics and Finance
Abstract: The primary objective of this paper is to establish the superiority of Unobserved Components Models (UCMs) as a measure of core inflation over alternative econometric methods, namely Structural Vector Autoregressive (SVAR). UCMs have the advantage of allowing the policy makers to decide which components of the headline inflation should be defined as permanent and which one as transitory on the basis of their duration. The paper also comments on the comparative performance of annually differenced series over seasonally differenced series. The UCMs are found to generate reasonable medium to long-term out-of-sample forecasts of Wholesale Price Index (WPI) inflation. © 2010 Inderscience Enterprises Ltd.
Citation: International Journal of Monetary Economics and Finance (2010), 3(3): 248-269
URI: https://doi.org/10.1504/IJMEF.2010.033456
http://repository.iitr.ac.in/handle/123456789/9761
Issue Date: 2010
Keywords: core inflation
out-of-sample forecasts
structural vector autoregressive
SVAR
UCM
unobserved components model
ISSN: 17520479
Author Scopus IDs: 57081884700
Author Affiliations: Kar, S., University of Petroleum and Energy Studies, Energy Acres, Bidholi, via-Premnagarr, Dehradun – 248006, India
Appears in Collections:Journal Publications [MS]

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