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Inflation regimes, core inflation measures and the relationship between producer and consumer price inflation

机译：通货膨胀制度，核心通货膨胀措施以及生产者和消费者价格通货膨胀之间的关系

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To date, an overwhelming majority of the literature has addressed mean relationships between producer and consumer price inflation. Granger et al. (1986) represent the only attempt to investigate second moment relationships. We examine the consumer-producer price relationship employing a multivariate GARCH-M framework that allows simultaneous estimation of the bivariate system along with providing explicit times series estimates of the variances of consumer and producer price inflation. This research also breaks new ground in the use of core and over-all inflation variance measures as well as examining state dependent mean and variance relationships. We find that mean relationships are generally sensitive to the measure of inflation used. Food and energy prices play an important role in transmitting changes in aggregate input prices to aggregate output prices. When food and energy prices are eliminated from consumer and producer price inflation measures, mean relationships break down irrespective of whether the economy is experiencing a high or low inflation regime. Variance relationships appear to be more robust in general and input price relationships in particular appear to respond to inflation regime shifts.
机译：迄今为止，绝大多数文献都论述了生产者价格和消费者价格上涨之间的均值关系。格兰杰等。 （1986）代表了调查第二刻关系的唯一尝试。我们使用多元GARCH-M框架研究了消费者与生产者之间的价格关系，该框架允许同时估计双变量系统，并提供消费者和生产者价格通胀的方差的明确时间序列估计。这项研究还在使用核心和总体通货膨胀方差度量以及检查状态相关均值和方差关系方面开辟了新天地。我们发现均值关系通常对所使用的通货膨胀率敏感。食品和能源价格在将总投入价格的变化传递到总产出价格中起着重要作用。当从消费者和生产者价格通胀措施中消除食品和能源价格时，均值关系将中断，而与经济处于高通胀机制还是低通胀机制无关。总体上，方差关系似乎更为稳健，尤其是输入价格关系似乎对通货膨胀制度的变化做出了反应。

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