The Distribution of Consumer Price Changes in the United Kingdom

Grayham E. Mizon · J. Claire Safford · Stephen H. Thomas

26 citations0/0 files storedEconomica

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Monetary Policy and Economic Impact Economics of Agriculture and Food Markets Market Dynamics and Volatility

Abstract

This paper rejects the hypothesis that relative commodity price changes are normally distributed using monthly U.K. data from 1962 to 1983. The presence of skewness in the distribution of price changes across commodities suggest that the asymmetric price response hypothesis may be a good description of the relation between the moments of the distribution of price changes. The authors use Granger causality tests to investigate this hypothesis, but it is not supported by the data. They also examine the major time-series features of the individual price series. Copyright 1990 by The London School of Economics and Political Science.

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References

1988Statistical analysis of cointegration vectors 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1973Some International Evidence on Output-Inflation Tradeoffs.1995Inflation and Unemployment 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW 1981Relative Shocks, Relative Price Variability, and Inflation 2016The Relationship between Relative Prices and the General Price Level 1979Differential Inflationary Expectations and the Variability of the Rate of Inflation: Theory and Evidence

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2002Optimal state-dependent rules, credibility, and inflation inertia 2000Relative Prices, Inflation and Core Inflation 2006Inflation, relative price variability and the markup: Evidence from the United States and the United Kingdom

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