MAPI: Model for Analysis and Projection of Inflation in France
39 Pages Posted: 25 Aug 2017
Date Written: August 2017
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
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