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A First Assessment of Some Measures of Core Inflation for the Euro Area

机译：对欧元区核心通货膨胀的一些措施的初步评估

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摘要

Core inflation plays an important role in the deliberations of monetary policy-makers. In this paper we evaluate a number of measures of core inflation constructed using euro-area data. In addition to the traditional exclusion-type core measures, we examine two newer ones, documenting their properties and evaluating their performance in terms of their ability to track underlying or trend inflation in real time. We focus on core measures derived from the Harmonized Index of Consumer Prices (HICP) as the European Central Bank has chosen to define its mandate for price stability in terms of this index, and because this is the only index of consumer prices that is compiled in a comparable manner across all members of the European Union. We document significant excess kurtosis in the cross-section distribution of price changes in the euro area, and show that several categories of prices are more volatile than those typically excluded from traditional measures of core inflation. Contrary to what one might expect, traditional measures of core inflation are not significantly less volatile than headline measures. We document the superior performance of alternative measures of core inflation in tracking trend inflation on average, but show that none of the various measures of core gave significant advance warning of the pickup in trend inflation at the beginning of 1999.
机译：核心通货膨胀在货币政策制定者的审议中起着重要作用。在本文中，我们评估了使用欧元区数据构建的许多核心通货膨胀指标。除了传统的排除型核心指标外，我们还研究了两个较新的指标，记录了它们的属性并根据其实时跟踪潜在或趋势通货膨胀的能力来评估其性能。由于欧洲中央银行已选择根据该指数定义其稳定价格的授权，因此我们专注于从统一消费价格指数（HICP）得出的核心指标，因为这是在在欧盟所有成员国中以可比的方式。我们记录了欧元区价格变化的横截面分布中存在明显的超峰度，并表明，与传统的核心通货膨胀指标相比，几类价格的波动性更大。与人们可能预期的相反，传统的核心通货膨胀指标的波动性没有整体指标显着降低。我们记录了核心通货膨胀的替代措施在平均追踪趋势通货膨胀方面的优越表现，但表明，在1999年初，核心通货膨胀的各种度量都没有对趋势通货膨胀的上升发出明显的预警。

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