Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation

نویسنده

  • George Kapetanios
چکیده

4 Non-technical summary 5

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Common Factors of CPI Sub-aggregates and Forecast of Inflation

In this paper, we investigate whether incorporating common factors of CPI sub-aggregates into forecasting models increases the accuracy of forecasts of inflation. We extract factors by both static and dynamic factor models and then embed them in ARMA and VAR models. Using quarterly data of Iran’s CPI and its sub-aggregates, the models are estimated over 1990:2 to 2008:2 and out of sample ...

متن کامل

Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating

We suggest to use a factor model based backdating procedure to construct historical Euro-area macroeconomic time series data for the pre-Euro period. We argue that this is a useful alternative to standard contemporaneous aggregation methods. The paper investigates for a number of Euro-area variables whether forecasts based on the factorbackdated data are more precise than those obtained with st...

متن کامل

The Effect of Exchange Rate, Oil Prices and Global Inflation Shocks on Macroeconomic Variables for the Iranian Economy in the form of a DSGE Model

T he world economy has experienced a bulk of positive and negative shocks in crude oil prices and exchange rates over the years, and that global inflation has undergone some changes. Such shocks have affected the macroeconomic variables in the countries of the world and have challenged the economies of these countries, and have led them to take different measures to protect themselves agai...

متن کامل

Do disaggregated CPI data improve the accuracy of inflation forecasts?☆

a r t i c l e i n f o In this paper, we evaluate the role of using consumer price index (CPI) disaggregated data to improve the accuracy of inflation forecasts. Our forecasting approach is based on extracting the factors from the subcompo-nents of the CPI at the highest degree of disaggregation. The data set contains 54 macroeconomic series and 243 CPI subcomponents from 1992 to 2009 for Mexico...

متن کامل

Investigating the Temporary and Permanent Influential Variables on Iran Inflation Using TVP-DMA Models

I nflation forecast is one of the tools in targeting inflation by the central bank. The most important problem of previous models to forecast the inflation is that they could not provide a correct prediction over time. However, the central bank policymakers shall seek to create economic stability by ignoring the short-term and temporary changes in price and regarding steady inflation...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2004