A Study of Belgian Inflation, Relative Prices and Nominal Rigidities using New Robust Measures of Skewness and Tail Weight

This paper studies the distribution of Belgian consumer price changes and its interaction with aggregate inflation over the period June 1976-September 2000. Given the fat-tailed nature of this distribution, both classical and robust measures of location, scale, skewness and tail weight are presented. The chronic right skewness of the distribution, revealed by the robust measures, is cointegrated with aggregate inflation, suggesting that it is largely dependent on the inflationary process itself and would disappear at zero inflation.