Inflation Forecasting, Relative Price Variability and Skewness
Författare
Summary, in English
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.
Avdelning/ar
Publiceringsår
2010
Språk
Engelska
Sidor
593-596
Publikation/Tidskrift/Serie
Applied Economics Letters
Volym
17
Dokumenttyp
Artikel i tidskrift
Förlag
Routledge
Ämne
- Economics
Nyckelord
- relative price skewness
- relative price variability
- inflation forecasting
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1466-4291