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The Seasonal Adjustment of the harmonised Index of Consumer Prices for the Euro Area: a Comparison of Direct and Indirect Methods

Author

Listed:
  • Riccardo Cristadoro

    (Bank of Italy, Economic Research Department)

  • Roberto Sabbatini

    (Bank of Italy, Economic Research Department)

Abstract
Knowledge of the characteristics of the short-term evolution of consumer prices for each country and for their average is important for better monitoring and forecasting of inflation in the euro area. In this paper we seek to verify to what extent the short-term variability of the HICPs can be explained by regular infra-year movements which we then attempt to estimate. We find evidence that seasonal movements characterise most price series, though some differences arise across countries and sub-indices. The seasonal adjustment of these indices raises a number of important questions of aggregation.

Suggested Citation

  • Riccardo Cristadoro & Roberto Sabbatini, 2000. "The Seasonal Adjustment of the harmonised Index of Consumer Prices for the Euro Area: a Comparison of Direct and Indirect Methods," Temi di discussione (Economic working papers) 371, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_371_00
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    Cited by:

    1. Meltem Gulenay Ongan, 2002. "The Seasonal Adjustment of the Consumer and Wholesale Prices : a Comparison of Census X-11, X-12 Arima and Tramo/Seats," Working Papers 0205, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Roberto Astolfi & Dominique Ladiray & Gian Luigi Mazzi, 2001. "Business Cycle Extraction of Euro-Zone GDP: Direct versus Indirect Approach," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 377-398.

    More about this item

    Keywords

    consumer price index; seasonality.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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