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Measuring core inflation in Bangladesh : an unobserved components approach

journal contribution
posted on 2011-01-01, 00:00 authored by Omar BasharOmar Bashar
This paper attempts to construct a core inflation measure for Bangladesh using an Unobserved Components modelling approach. One advantage of the Unobserved Components approach is that this method satisfies some essential statistical criteria for a core inflation measure, which are not guaranteed to be met in other traditional exclusionbased methods. The estimated core inflation series performs well in tracking headline inflation and picking the major turning points in actual inflation. It is also found that there is a negative covariance between the shocks to the core inflation and cyclical inflation, indicating that there may be positive correlation between demand and supply shocks in Bangladesh.

History

Journal

Indian economic review

Volume

46

Issue

1

Pagination

109 - 129

Publisher

Department of Economics, Dehli School of Economics

Location

New Delhi, India

ISSN

0019-4670

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

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