A markup model for forecasting inflation for the Euro area

Bill Russell; Anindya Banerjee

doi:10.1002/for.1000

A markup model for forecasting inflation for the Euro area

Bill Russell, Anindya Banerjee

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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 language	English
Pages (from-to)	495
Number of pages	511
Journal	Journal of Forecasting
Volume	25
Issue number	7
DOIs	https://doi.org/10.1002/for.1000
Publication status	Published - Nov 2006

Keywords

Inflation
Prices markup
Business cycles
Cointegration
Forecasting

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10.1002/for.1000

1 Citations
1 Discussion paper

Dundee Discussion Papers in Economics 129: 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 paper/Preprint › Discussion paper

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Cite this

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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 {\textcopyright} 2006 John Wiley & Sons, Ltd.",

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AB - 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.

KW - Inflation

KW - Prices markup

KW - Business cycles

KW - Cointegration

KW - Forecasting

U2 - 10.1002/for.1000

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SP - 495

JO - Journal of Forecasting

JF - Journal of Forecasting

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ER -

A markup model for forecasting inflation for the Euro area

Abstract

Keywords

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Research output

Dundee Discussion Papers in Economics 129: A markup model for forecasting inflation for the Euro area

Cite this