Abstract

http://ssrn.com/abstract=357920
 
 

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G-7 Inflation Forecasts


Fabio Canova


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)

June 2002

ECB Working Paper No. 151

Abstract:     
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, E5

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Date posted: January 17, 2003  

Suggested Citation

Canova, Fabio, G-7 Inflation Forecasts (June 2002). ECB Working Paper No. 151. Available at SSRN: http://ssrn.com/abstract=357920

Contact Information

Fabio Canova (Contact Author)
Universitat Pompeu Fabra - Department of Economics and Business (DEB) ( email )
Barcelona, 08005
Spain
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) ( email )
Via dei Roccettini 9
via delle Fontanelle 10
50016 San Domenico di Fiesole, Florence 50014
Italy
University of Southampton - Division of Economics
Southampton, SO17 1BJ
United Kingdom
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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