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  • 7/22/2019 Core Inflation Enkh-Amgalan

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    .-

    2014 5

    , - ., . - . , .

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    ......................................................................................................................... 2 ........................................................................................................................................ 3I . ...................................................................................................... 4

    1.1. ........................................................ 41.2. ......... 71.3. , ............................ 91.4. .......................................... 11

    II . ..................................................................................................... 122.1. ................................................. 12

    2.1.1. ............................................................................ 122.1.2. .................................................................................... 132.1.3. ............................................................................... 132.1.4. .............................................................................................. 132.1.5. .............................................................................. 142.1.6. ......................................................... 15

    III . ............................................................................................... 17IV . ..................................................................................................................... 18

    4.1. ........................................................................................... 184.2. - .................... 204.3. ....................................................... 214.4. .................. 244.5. .................................................................................... 27

    V . , , .............................................. 28 ......................................................................................... 30 ............................................................................................................. 32

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    :C33, C4, C41, C43 C53, C55, E3, E31, E32, E37,E52, E58.

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    , . (., .-, Tomazs Luziak 2008) . , .

    ,(, 2004)1. . . , . , , ,

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    ( 1, 1- ) , ; (( 31998; 1999; 2002; 2006; 2009), (Forni 4,2000).

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    100.0%

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    7.2% 1.7% 1 00.0%

    4 1.1% 29.0% 30.8% 100.0%

    82.1% 70.3% -6.7% 37 .5 % 10 0.0 %

    73.7% 62.4% 21.8% 46.0% 53.2% 100.0%

    81.9% 72.6% 15.9% 22.7% 62.8% 87.0% 100.0%

    79.1% 65.6% -11.4% 2 7.1% 85.0% 58.9% 69.9% 100.0%

    - 21 .6 % - 20 .2 % - 19 .8 % 14.0% -27.9% -22.4% -35.6% -35.0% 100.0%

    43.1% 27.3% -10.3% 27.6% 60.4% 45.3% 55.3% 66.0% -17.5% 100.0%

    29.1% 5.9% 7.7% 34.1% 48.7% 45.7% 41.5% 46.3% -14.9% 4 2. 6% 1 00. 0%

    66.5% 54.4% 27.0% 67.4% 58.6% 58.9% 64.3% 55.2% -13.8% 4 8.3% 57.2% 100.0%

    35.3% 18.9% 6.0% 39.6% 25.8% 74.6% 67.4% 41.1% -14.6% 6 0.0% 50.6% 54.2% 100.0%

    : .

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    2Bernanke and Boivin, 20033Stock and Watson

    4Forni et al.

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    (Camacho and Sancho 2003)22(CambaMendez and Kapetanios, 2005)

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    (Marcks, Francisco; Figueirdo, Rodrigues; 2010)28Ciccarelli and Mojon (2010)

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    , 29 - , . 1990-2012 54 - . - . , , .

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    29 (Khan, Mikael; Morel, Louis; Sabourin, Patrick; 2013)

    30non accelerating inflation rate of unemployment31Atkeson and Ohanian (2001)32

    Fisher, Liu, Zhou (2002)33Likewise, Lansing (2002)

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    . , . , 34 2000 , , 35 1999 , 2002 36 2001 . . , 2000 .

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    34Cecchetti, Chu and Steindel (2000)

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    vector error correction38Bayesian VAR

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    2.1.2.

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    IV .

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    . 7 2010 2011 . 2009 7.5 . 2010 , , , 10 -37 . 120 , 30 7 .

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    4.4. ,

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    (2 ) 0.23 6.60

    R-squared 0.87

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    46 2014

    51 , 57 , 55 , 46 , 21 .

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    0.02 -0.130.12

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    4.4 . , , . , .

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    .

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    Altissimo, Filippo, Benoit Mojon, Paolo Zaffaroni. Can aggregation explain thepersistence of inflation.Banque de France, 2008.

    Amstad, Marlene; Potter, Simon. Real time underlying inflation gauges for monetarypolicimakers.Federal reserve bank of New York, 2009.

    Carbureanu, Madalina. The annual inflation rate analysis using data mining techniques.University of Ploiesti, 2012.

    Chang Shu, Andrew Tsang. Alternative measures of core inflation on the Mainlan.Research department, Hong Kong monetary authory, 2004.

    Choi, Yongok, Dennis W.Jansen, Joon Y.Park. Forecasting inflation: Disaggregating

    aggregates to have better forecast. .

    Gregorio, Carlo De. The dynamics of inflation components and their comparability amongcountries: the case of the HICP.Istituto nazionale di statistica, 2011.

    Hahn, Elke. Core inflarion in the Euro area: An application of the generalized dynamicfactor model. Center for financial studies, 2002.

    Khan, Mikael; Morel, Louis; Sabourin, Patrick;. The common component of CPI: Analternative measure of underlying inflation for canada. Canadian economic analysisdepartment, Bank of Canada, 2013.

    Kunovac, Davor. Factor model forecast of inflation in Croatia. Croatian national bank,Zagreb, 2007.

    Marcks, Francisco; Figueirdo, Rodrigues;. Forecasting Brazilion inflation using a large dataset.Banco central do Brazil, 2010.

    Mikael Khan, Louis Morel, Patrick Sabourin. Common component of CPI: An alternativemeasure of underlying inflation for Canada.Bank of Canada Woring paper, 2013.

    Mishkin, Frederic S. The Economics of Money, Banking and Financial Markets.The

    Addison-Wesley series in economics, 2004.

    Ruch, Franz; Bester, Dirk. Towarts a measure of core inflation using sigular spectrumanalysis. South africal reserve bank working paper, 2011.

    Silver, Mick. Core inflation measures and statistical issues in choosing among them.International monetary fund, 2006.

    .. ., 2005 .

    ., .-, Tomazs Luziak. ., 2008.

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    .-. , ., 2006.

    .-, .. ., 2004.

    .. . ,2008.

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    , Y (0.15)Y Y (0.16) (0.17) (0.25) (0.27) Y Y, (0.28) (0.29) (0.34) (0.42) Y (0.62)

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