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Europe > Norway

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes x
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Cover IMF Working Papers
Identifying Domestic and Imported Core Inflation
Hilde C. Bjørnland
This paper estimates core inflation in Norway, identified as that component of inflation that has no long-run effect on GDP. The model distinguishes explicitly between domestic and imported core inflation. The results show that (domestic) core inflation is the main component of CPI inflation. CPI inflation, however, misrepresents core inflation in some periods. The differences are well explained by the other shocks identified in the model, in particular the oil price shocks of the 1970s when Norway imported inflation, and the negative noncore (supply) shocks of the late 1980s, which pushed inflation up temporarily relative to core inflation.
Keywords:
WP; core inflation rate; oil price shock; price; Domestic and imported core inflation; inflation target; oil price shocks; structural VAR; CPI inflation; core inflation shock; VAR model; overpredicts core inflation; Inflation; Oil prices; Consumer price indexes; Inflation targeting; Vector autoregression
Cover IMF Working Papers
Estimation of the Near Unit Root Model of Real Exchange Rates
Mr. C. John McDermott
The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of significance we should expect 11 of the 22 series examined to yield evidence of mean reversion and to reject that hypothesis of a unit root. Using models that imply a constant unconditional mean or trend-stationary productivity changes, we find that only one of the 22 real exchange rates shows evidence against unit roots. This low rate of rejection of unit roots in real exchange rates can be construed as evidence against PPP.
Keywords:
WP; confidence interval; unit root model; unbiased estimator; estimator density; interval estimator; Phillips-perron estimator; Real exchange rates; Real effective exchange rates; Exchange rates; Purchasing power parity; Labor costs