UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY
研究英国自1251年以来的零售价格通胀，使用允许参数漂移和随机波动的AR模型，发现只有20世纪出现一次通胀浪潮，并测算了通胀可预测性和实际利率。
Abstract Historians have suggested that there were waves of inflation or price revolutions in the United Kingdom (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1935. We study retail price inflation since 1251 and model its dynamics. The model is an AR( n ) but allows for gradually evolving or drifting parameters and stochastic volatility. The long‐horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to measure inflation predictability and price‐level instability from the beginning of the sample and to provide measures of real interest rates since 1695.