G-7 Inflation Forecasts
Universitat Pompeu Fabra - Department of Economics and Business (DEB); European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS); University of Southampton - Division of Economics; Centre for Economic Policy Research (CEPR)
ECB Working Paper No. 151
This paper compares the forecasting performance of some leading models of inflation for the cross section of G-7 countries. We show that bivariate and trivariate models suggested by economic theory or statistical analysis are hardly better than univariate models. Phillips curve specifications fit well into this class. Significant improvements in both the MSE of the forecasts and turning point prediction are obtained with time varying coefficient models which exploit international interdependencies. The performance of the latter class of models is independent of the sample, while it is not the case for standard specifications.
Number of Pages in PDF File: 46
Keywords: Forecasting, Inflation, Panel VAR models, Markov Chain Monte Carlo Methods
JEL Classification: E0, E5working papers series
Date posted: January 17, 2003
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.282 seconds