, Volume 5, Issue 3, pp 239–258

Measuring core inflation in Italy comparing aggregate vs. disaggregate price data

Original Paper

DOI: 10.1007/s11698-010-0059-7

Cite this article as:
Sbrana, G. & Silvestrini, A. Cliometrica (2011) 5: 239. doi:10.1007/s11698-010-0059-7


This paper focuses on the core inflation measurement in Italy using univariate (national-level inflation) vs. multivariate (city-level inflation) models during the period 1970–2006. We derive algebraic expressions that allow comparison between the reduced form parameters of univariate and multivariate local level models in the context of contemporaneous and temporal aggregation. We illustrate the relevance of these theoretical results for the empirical analysis of time series. Using Italian data, we find that multivariate and univariate models extract similar core inflation measures when analyzing the moderate-low inflation period. In contrast, the two competing models yield different trends when modeling the Great Inflation period.


Unobserved components Seemingly unrelated time series equations Local level models ARIMA 

JEL classification

C22 C32 C43 E31 

Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.Université de Strasbourg, Bureau d’Économie Théorique et Appliquée (BETA)Strasbourg CedexFrance
  2. 2.Economics, Research and International Relations, Economic and Financial Statistics DepartmentBank of ItalyRomaItaly