英国自13世纪以来的通货膨胀动态

IF 1.5 3区经济学 Q2 ECONOMICS

International Economic Review Pub Date : 2023-05-30 DOI:10.1111/iere.12649

James M. Nason, Gregor W. Smith

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引用次数: 0

摘要

历史学家认为，在1935年以来持续的通货膨胀之前，英国(以及早期的英格兰)在13、16和18世纪有过一波通货膨胀或价格革命。我们研究了自1251年以来的零售价格通胀，并对其动态进行了建模。该模型是一个AR(n)，但允许逐渐演变或漂移参数和随机波动。长期预测表明，只有一次通胀波动，即20世纪的那次。我们还使用该模型来衡量从样本开始的通货膨胀可预测性和价格水平的不稳定性，并提供自1695年以来的实际利率指标。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY

Historians have suggested that there were waves of inflation or price revolutions in the United Kingdom (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1935. We study retail price inflation since 1251 and model its dynamics. The model is an AR(n) but allows for gradually evolving or drifting parameters and stochastic volatility. The long-horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to measure inflation predictability and price-level instability from the beginning of the sample and to provide measures of real interest rates since 1695.

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来源期刊

International Economic Review ECONOMICS-

CiteScore

2.60

自引率

0.00%

发文量

期刊介绍： The International Economic Review was established in 1960 to provide a forum for modern quantitative economics. From its inception, the journal has tried to stimulate economic research around the world by publishing cutting edge papers in many areas of economics, including econometrics, economic theory, macro, and applied economics.