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| Author: | Bryan, M. Cecchetti, S. |
| Title: | Inflation and the distribution of price changes |
| Journal: | Review of Economics and Statistics
1999 : MAY, VOL. 81:2, p. 188-196 |
| Index terms: | INFLATION DISTRIBUTION PRICE LEVEL |
| Language: | eng |
| Abstract: | This paper reconsiders the empirical evidence connecting inflation to its higher-order moments. In particular, the authors examine the statistical properties of the observed positive correlation between the sample mean and the sample cross-sectional skewness of price changes. This correlation has attracted substantial attention over the years and has recently been the focal point of a debate among macroeconomists. The authors show that the sample mean-skewness correlation suffers from a small sample bias that accounts for the entirety of the observed correlation. |
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