MAPI: Model for Analysis and Projection of Inflation in France

39 Pages Posted: 25 Aug 2017

Date Written: August 2017

Abstract

In this paper, we present the new model developed at Banque de France to forecast the Harmonized Index of Consumer Prices (HICP) and its components in France up to twelve quarters during the Eurosystem projection exercises. The model is a partial equilibrium model and is used for forecast purposes jointly with the macroeconomic model Mascotte. The model generates more accurate forecasts, conditional to Eurosystem common technical assumptions, than pure autoregressive models. We derive impacts of oil-price shock, exchange rate and wage shocks on headline and core HICP and find significant pass-through.

Keywords: forecasting, inflation, time-series

JEL Classification: E37, C32, E31, C53

Suggested Citation

de Charsonville, Louis and Ferriere, Thomas and Jardet, Caroline, MAPI: Model for Analysis and Projection of Inflation in France (August 2017). Banque de France Working Paper No. 637, Available at SSRN: https://ssrn.com/abstract=3024615 or http://dx.doi.org/10.2139/ssrn.3024615

Louis De Charsonville (Contact Author)

Banque de France ( email )

Paris
France

Thomas Ferriere

Banque de France ( email )

Paris
France

Caroline Jardet

Banque de France ( email )

31 rue croix des petits champs
75049 Paris Cedex 01
France

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