A Stochastic Estimation Framework for Components of the South African Consumer Price Index.
Under inflation targeting in South Africa, it is important to monitor and forecast changes in prices, not only for aggregate measures of the consumer price index, but also its underlying sub-components. Hypotheses about sectoral transmission of policy and shocks are often more specific than hypotheses about overall transmission. This study employs a stochastic framework to estimate richly specified equilibrium correction models, four-quarters-ahead, for the 10 sub-components of the first targ...Expand abstract
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