Abstract

http://ssrn.com/abstract=1365818
 
 

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What Lies Beneath: What Can Disaggregated Data Tell Us about the Behaviour of Prices?


Haroon Mumtaz


University of London - Faculty of Social Sciences

Pawel Zabczyk


CCBS, Bank of England

Colin Ellis


University of Birmingham

March 20, 2009

Bank of England Working Paper No. 364

Abstract:     
This paper uses a factor-augmented vector autoregression technique to examine the role that macroeconomic and sector-specific factors play in UK price fluctuations at the aggregate and disaggregated levels. Macroeconomic factors are less important for disaggregated prices than aggregate ones. There also appears to be significant aggregation bias - the persistence of aggregate inflation series is much higher than the underlying persistence across the range of disaggregated price series. Our results suggest that monetary policy affects relative prices in the short to medium term, and that the degree of competition within industries plays a role in determining pricing behaviour.

Number of Pages in PDF File: 32

Keywords: Inflation persistence, disaggregation, principal components

JEL Classification: C3, D4, E31, E52

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Date posted: March 21, 2009 ; Last revised: December 24, 2009

Suggested Citation

Mumtaz, Haroon and Zabczyk, Pawel and Ellis, Colin, What Lies Beneath: What Can Disaggregated Data Tell Us about the Behaviour of Prices? (March 20, 2009). Bank of England Working Paper No. 364. Available at SSRN: http://ssrn.com/abstract=1365818 or http://dx.doi.org/10.2139/ssrn.1365818

Contact Information

Haroon Mumtaz
University of London - Faculty of Social Sciences ( email )
United Kingdom
Pawel Zabczyk
CCBS, Bank of England ( email )
Threadneedle Street
London, EC2R 8AH
United Kingdom
Colin Ellis (Contact Author)
University of Birmingham ( email )
Economics Department
Birmingham, B15 2TT
United Kingdom
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