The links between commodity prices, interst rates, wages, and the exchange rate of the U.S. dollar with consumer prices is investigated. An ARIMA transfer function methodology is employed. Sample data are from January 1972 to December 1988. Although model diagnsotics are relatively good,...

In recent macroeconomic theory, relative price variability (RPV) generates the central distortions of inflation. This paper provides first evidence on the empirical relation between inflation and RPV in the euro area focusing on threshold effects of inflation. We find that expected inflation...

A standard monetary infaltion model is expanded to include import and labor costs in a theoretically logical manner. Implications for estimation are discussed, with special attention given to developing country data concerns. Care is taken to discuss model development within the historical...

A standard monetary model of inflation is augmented to include import, labor, energy, and intermediate good cost pressures. Expansion of the original monetary framework is achieved using a cost function dual of the production function. Implications for parameter magnitudes and other empirical...

A theoretical model of inflationary dynamics in Ecuador is specified for the pre-dollarization period when the sucre was still the official currency. Parameter estimation is carried out using a battery of time series techniques. Monthly data from January 1964 to December 1994 are used in the...

A theoretical model of inflationary dynamics is developed for Mexico. Estimation is carried out using ARIMA transfer function analysis. Sample data are for the January 1982 - December 1998 period. Overall econometric characteristics of the model satisfy standard statistical criteria. Results...

A monetary inflation model is augmented to include import prices and wages in a theoretically plausible manner. Empirical analysis is carried out using annual data for the 1970-1997 period. Parameter estimation is completed using a nonlinear ARMAX procedure. In addition to estimating different...

The paper derives the monetary policy reaction function implied by money growth targeting. It consists of an interest rate response to deviations of the inflation rate from target, to the change in the output gap, to money demand shocks and to the lagged interest rate. In the second part, it is...

This paper investigates how the dynamic adjustment of the European overnight rate Eonia to the term spread and the ECB's policy rate has been affected by rate expectations and the operational framework of the ECB. In line with recent evidence found for the US and Japan, the reaction of the Eonia...