A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX
Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub‐components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypothes...
Gespeichert in:
| Veröffentlicht in: | The South African Journal of economics 2009-06, Vol.77 (2), p.282-313 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 313 |
|---|---|
| container_issue | 2 |
| container_start_page | 282 |
| container_title | The South African Journal of economics |
| container_volume | 77 |
| creator | Aron, Janine Muellbauer, John N. J. Pretorius, Coen |
| description | Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub‐components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four‐quarters‐ahead, for the 10 sub‐components of the first targeted measure of the consumer price index, CPIX. The stochastic trends are estimated by the Kalman filter, and interpreted as capturing structural breaks and institutional change, a frequent cause of forecast failure. The trends suggest the design of deterministic split trends for use in recursive forecasting models, towards more accurate overall inflation forecasting. This research also has practical use for monetary policy in allowing identification of sectoral sources of inflation. |
| doi_str_mv | 10.1111/j.1813-6982.2009.01214.x |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_37170647</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>37170647</sourcerecordid><originalsourceid>FETCH-LOGICAL-c5394-9b59b3d645ee5971d5f365f4cbb73eac4529d87ffef82df0cdcc0c0fdfcbd7a83</originalsourceid><addsrcrecordid>eNqNUF2Pk0AUJUYT6-p_mPjgG-wMAwy8mCDCttstbIBa48vNMAwRpEtlWm3_vcNi-uCTN7lfueec3BzDQARbRMdtZxGfUNMLfNuyMQ4sTGziWOcXxuJ6eGksMKa-ads-fm28UarTq4ttZ2F8C1FRZtEyLMpVhGJdN2G5ylKU5OEm3mX5GiVZjqJs85ilcVoWKEtQuYxRkW3LJQqTfBWFqb6nxXYT5-hR7zFapZ_jr2-NVw3vlXz3t98Y2yQuo6X5kN1p0oMpXBo4ZlC5QUVrz3GldANGarehnts4oqoYlVw4rh3UPmsa2fh23WBRC4EFbupGVDXjPr0xPsy6h3H4eZLqCPtWCdn3_EkOJwWUEYY9h2ng-3-A3XAan_RvYGNKWOBQokH-DBLjoNQoGziM7Z6PFyAYJsehg8lYmIyFyXF4dhzOmno_U0d5kOLKq3queCfFAL-AcsZ0ueh8plLeTqPOw9S1on4Bvh_3WuzjLPa77eXlv5-AIryPp1ELmLNAq47yfBXg4w_wGGUu7NI7WH_arb8EzIOS_gHRPKgD</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>203179431</pqid></control><display><type>article</type><title>A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX</title><source>RePEc</source><source>Wiley Journals</source><source>PAIS Index</source><creator>Aron, Janine ; Muellbauer, John N. J. ; Pretorius, Coen</creator><creatorcontrib>Aron, Janine ; Muellbauer, John N. J. ; Pretorius, Coen</creatorcontrib><description>Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub‐components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four‐quarters‐ahead, for the 10 sub‐components of the first targeted measure of the consumer price index, CPIX. The stochastic trends are estimated by the Kalman filter, and interpreted as capturing structural breaks and institutional change, a frequent cause of forecast failure. The trends suggest the design of deterministic split trends for use in recursive forecasting models, towards more accurate overall inflation forecasting. This research also has practical use for monetary policy in allowing identification of sectoral sources of inflation.</description><identifier>ISSN: 0038-2280</identifier><identifier>EISSN: 1813-6982</identifier><identifier>DOI: 10.1111/j.1813-6982.2009.01214.x</identifier><language>eng</language><publisher>Malden, USA: Blackwell Publishing Inc</publisher><subject>C22 ; C32 ; C51 ; C52 ; C53 ; Central banks ; Consumer Price Index ; CPIX ; E31 ; E52 ; Economic forecasting ; Financial economics ; Forecasts ; Hypotheses ; Inflation ; Kalman filter ; Kalman filters ; Monetary policy ; sectoral models ; South Africa ; Stochastic models ; Stochastic processes ; structural breaks ; Studies ; Trends</subject><ispartof>The South African Journal of economics, 2009-06, Vol.77 (2), p.282-313</ispartof><rights>2009 The Authors. Journal compilation © 2009 Economic Society of South Africa</rights><rights>Copyright Economic Society of South Africa Jun 2009</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c5394-9b59b3d645ee5971d5f365f4cbb73eac4529d87ffef82df0cdcc0c0fdfcbd7a83</citedby><cites>FETCH-LOGICAL-c5394-9b59b3d645ee5971d5f365f4cbb73eac4529d87ffef82df0cdcc0c0fdfcbd7a83</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fj.1813-6982.2009.01214.x$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fj.1813-6982.2009.01214.x$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1417,4008,27866,27924,27925,45574,45575</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/blasajeco/v_3a77_3ay_3a2009_3ai_3a2_3ap_3a282-313.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Aron, Janine</creatorcontrib><creatorcontrib>Muellbauer, John N. J.</creatorcontrib><creatorcontrib>Pretorius, Coen</creatorcontrib><title>A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX</title><title>The South African Journal of economics</title><description>Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub‐components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four‐quarters‐ahead, for the 10 sub‐components of the first targeted measure of the consumer price index, CPIX. The stochastic trends are estimated by the Kalman filter, and interpreted as capturing structural breaks and institutional change, a frequent cause of forecast failure. The trends suggest the design of deterministic split trends for use in recursive forecasting models, towards more accurate overall inflation forecasting. This research also has practical use for monetary policy in allowing identification of sectoral sources of inflation.</description><subject>C22</subject><subject>C32</subject><subject>C51</subject><subject>C52</subject><subject>C53</subject><subject>Central banks</subject><subject>Consumer Price Index</subject><subject>CPIX</subject><subject>E31</subject><subject>E52</subject><subject>Economic forecasting</subject><subject>Financial economics</subject><subject>Forecasts</subject><subject>Hypotheses</subject><subject>Inflation</subject><subject>Kalman filter</subject><subject>Kalman filters</subject><subject>Monetary policy</subject><subject>sectoral models</subject><subject>South Africa</subject><subject>Stochastic models</subject><subject>Stochastic processes</subject><subject>structural breaks</subject><subject>Studies</subject><subject>Trends</subject><issn>0038-2280</issn><issn>1813-6982</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2009</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><sourceid>7TQ</sourceid><recordid>eNqNUF2Pk0AUJUYT6-p_mPjgG-wMAwy8mCDCttstbIBa48vNMAwRpEtlWm3_vcNi-uCTN7lfueec3BzDQARbRMdtZxGfUNMLfNuyMQ4sTGziWOcXxuJ6eGksMKa-ads-fm28UarTq4ttZ2F8C1FRZtEyLMpVhGJdN2G5ylKU5OEm3mX5GiVZjqJs85ilcVoWKEtQuYxRkW3LJQqTfBWFqb6nxXYT5-hR7zFapZ_jr2-NVw3vlXz3t98Y2yQuo6X5kN1p0oMpXBo4ZlC5QUVrz3GldANGarehnts4oqoYlVw4rh3UPmsa2fh23WBRC4EFbupGVDXjPr0xPsy6h3H4eZLqCPtWCdn3_EkOJwWUEYY9h2ng-3-A3XAan_RvYGNKWOBQokH-DBLjoNQoGziM7Z6PFyAYJsehg8lYmIyFyXF4dhzOmno_U0d5kOLKq3queCfFAL-AcsZ0ueh8plLeTqPOw9S1on4Bvh_3WuzjLPa77eXlv5-AIryPp1ELmLNAq47yfBXg4w_wGGUu7NI7WH_arb8EzIOS_gHRPKgD</recordid><startdate>200906</startdate><enddate>200906</enddate><creator>Aron, Janine</creator><creator>Muellbauer, John N. J.</creator><creator>Pretorius, Coen</creator><general>Blackwell Publishing Inc</general><general>Economic Society of South Africa</general><general>Wiley Subscription Services, Inc</general><scope>BSCLL</scope><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7TQ</scope><scope>8BJ</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200906</creationdate><title>A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX</title><author>Aron, Janine ; Muellbauer, John N. J. ; Pretorius, Coen</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5394-9b59b3d645ee5971d5f365f4cbb73eac4529d87ffef82df0cdcc0c0fdfcbd7a83</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2009</creationdate><topic>C22</topic><topic>C32</topic><topic>C51</topic><topic>C52</topic><topic>C53</topic><topic>Central banks</topic><topic>Consumer Price Index</topic><topic>CPIX</topic><topic>E31</topic><topic>E52</topic><topic>Economic forecasting</topic><topic>Financial economics</topic><topic>Forecasts</topic><topic>Hypotheses</topic><topic>Inflation</topic><topic>Kalman filter</topic><topic>Kalman filters</topic><topic>Monetary policy</topic><topic>sectoral models</topic><topic>South Africa</topic><topic>Stochastic models</topic><topic>Stochastic processes</topic><topic>structural breaks</topic><topic>Studies</topic><topic>Trends</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Aron, Janine</creatorcontrib><creatorcontrib>Muellbauer, John N. J.</creatorcontrib><creatorcontrib>Pretorius, Coen</creatorcontrib><collection>Istex</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The South African Journal of economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Aron, Janine</au><au>Muellbauer, John N. J.</au><au>Pretorius, Coen</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX</atitle><jtitle>The South African Journal of economics</jtitle><date>2009-06</date><risdate>2009</risdate><volume>77</volume><issue>2</issue><spage>282</spage><epage>313</epage><pages>282-313</pages><issn>0038-2280</issn><eissn>1813-6982</eissn><abstract>Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub‐components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four‐quarters‐ahead, for the 10 sub‐components of the first targeted measure of the consumer price index, CPIX. The stochastic trends are estimated by the Kalman filter, and interpreted as capturing structural breaks and institutional change, a frequent cause of forecast failure. The trends suggest the design of deterministic split trends for use in recursive forecasting models, towards more accurate overall inflation forecasting. This research also has practical use for monetary policy in allowing identification of sectoral sources of inflation.</abstract><cop>Malden, USA</cop><pub>Blackwell Publishing Inc</pub><doi>10.1111/j.1813-6982.2009.01214.x</doi><tpages>32</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0038-2280 |
| ispartof | The South African Journal of economics, 2009-06, Vol.77 (2), p.282-313 |
| issn | 0038-2280 1813-6982 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37170647 |
| source | RePEc; Wiley Journals; PAIS Index |
| subjects | C22 C32 C51 C52 C53 Central banks Consumer Price Index CPIX E31 E52 Economic forecasting Financial economics Forecasts Hypotheses Inflation Kalman filter Kalman filters Monetary policy sectoral models South Africa Stochastic models Stochastic processes structural breaks Studies Trends |
| title | A STOCHASTIC ESTIMATION FRAMEWORK FOR COMPONENTS OF THE SOUTH AFRICAN CONSUMER PRICE INDEX |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-27T06%3A25%3A54IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20STOCHASTIC%20ESTIMATION%20FRAMEWORK%20FOR%20COMPONENTS%20OF%20THE%20SOUTH%20AFRICAN%20CONSUMER%20PRICE%20INDEX&rft.jtitle=The%20South%20African%20Journal%20of%20economics&rft.au=Aron,%20Janine&rft.date=2009-06&rft.volume=77&rft.issue=2&rft.spage=282&rft.epage=313&rft.pages=282-313&rft.issn=0038-2280&rft.eissn=1813-6982&rft_id=info:doi/10.1111/j.1813-6982.2009.01214.x&rft_dat=%3Cproquest_cross%3E37170647%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=203179431&rft_id=info:pmid/&rfr_iscdi=true |