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Inflation Forecasting, Relative Price Variability and Skewness

Författare:
Publiceringsår: 2010
Språk: Engelska
Sidor: 593-596
Publikation/Tidskrift/Serie: Applied Economics Letters
Volym: 17
Dokumenttyp: Artikel

Sammanfattning

We aim to forecast U.K. inflation out-of-sample. Our study uses disaggregated quarterly UK consumption data from 1964:1 to 2004:3. A major finding of our analysis is that inflation forecasts of long time horizons of 1.5-2 years are significantly improved if a measure of symmetry of the price distribution is incorporated into the forecast equation. In contrast, the inclusion of price variability leads to deterioration in inflation forecasting performance.

Disputation

Nyckelord

  • Business and Economics
  • relative price skewness
  • relative price variability
  • inflation forecasting

Övrigt

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