A markup model for forecasting inflation for the Euro area

Bill Russell, Anindya Banerjee

    Research output: Contribution to journalArticle

    Abstract

    We develop a small model for forecasting inflation for the euro area using quarterly data over the period June 1973 to March 1999. The model is used to provide inflation forecasts from June 1999 to March 2002. We compare the forecasts from our model with those derived from six competing forecasting models, including autoregressions, vector autoregressions and Phillips-curve based models. A considerable gain in forecasting performance is demonstrated using a relative root mean squared error criterion and the Diebold–Mariano test to make forecast comparisons.
    Copyright © 2006 John Wiley & Sons, Ltd.
    Original languageEnglish
    Pages (from-to)495
    Number of pages511
    JournalJournal of Forecasting
    Volume25
    Issue number7
    DOIs
    Publication statusPublished - Nov 2006

    Keywords

    • Inflation
    • Prices markup
    • Business cycles
    • Cointegration
    • Forecasting

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  • Research Output

    • 1 Discussion paper

    A markup model for forecasting inflation for the Euro area

    Banerjee, A. & Russell, B., 2002, University of Dundee, (Dundee Discussion Papers in Economics; no. 129).

    Research output: Working paperDiscussion paper

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