Inflation Forecasting in the New EU Member States

41 Pages Posted: 9 Mar 2009

See all articles by Olga Arratibel

Olga Arratibel

European Central Bank (ECB)

Christophe Kamps

European Central Bank (ECB)

Nadine Leiner-Killinger

European Central Bank (ECB)

Date Written: February 27, 2009

Abstract

To the best of our knowledge, our paper is the first systematic study of the predictive power of monetary aggregates for future inflation for the cross section of New EU Member States. This paper provides stylized facts on monetary versus non-monetary (economic and fiscal) determinants of inflation in these countries as well as formal econometric evidence on the forecast performance of a large set of monetary and non-monetary indicators. The forecast evaluation results suggest that, as has been found for other countries before, it is difficult to find models that significantly outperform a simple benchmark, especially at short forecast horizons. Nevertheless, monetary indicators are found to contain useful information for predicting inflation at longer (3-year) horizons.

Keywords: Inflation forecasting, leading indicators, monetary policy, information content of money, fiscal policy, New EU Member States

JEL Classification: C53, E31, E37, E51, E52, E62, P24

Suggested Citation

Arratibel, Olga and Kamps, Christophe and Leiner-Killinger, Nadine, Inflation Forecasting in the New EU Member States (February 27, 2009). ECB Working Paper No. 1015, Available at SSRN: https://ssrn.com/abstract=1334129 or http://dx.doi.org/10.2139/ssrn.1334129

Olga Arratibel (Contact Author)

European Central Bank (ECB) ( email )

Eurotower
Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany
0049 69 13440 (Phone)
0044 69 1344 6000 (Fax)

Christophe Kamps

European Central Bank (ECB) ( email )

Sonnemannstrasse 20
D-60314 Frankfurt am Main
Germany

HOME PAGE: http://https://www.ecb.europa.eu/pub/research/authors/profiles/christophe-kamps.en.html

Nadine Leiner-Killinger

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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