HKS Affiliated Authors
Professor of Public Policy, HKS; Harold Hitchings Burbank Professor of Political Economy, FAS
Excerpt
Excerpt
Trend, Seasonal, and Sectoral Inflation in the Euro Area. James Stock, January 27, 2019, Paper, "An unobserved components model with stochastic volatility is used to decompose aggregate Euro area HICP inflation into a trend, seasonal and irregular components. Estimates of the components based only on aggregate data are imprecise: the width of 68% error bands for the seasonally adjusted value of aggregate inflation is 1.0 percentage points in the final quarter of the sample. Estimates are more precise using a multivariate model for a 13-sector decomposition of aggregate inflation, which yields a corresponding error band that is roughly 40% narrower. Trend inflation exhibited substantial variability during the 2001-2018 period and this variability closely mirrored variation in real activity." Link