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Inflation Forecasting, Relative Price Variability and Skewness

Binner, Jane M.; Elger, Thomas; Jones, Barry and Nilsson, Birger LU (2010) In Applied Economics Letters 17. p.593-596
Abstract
We aim to forecast U.K. inflation out-of-sample. Our study uses disaggregated quarterly UK consumption data from 1964:1 to 2004:3. A major finding of our analysis is that inflation forecasts of long time horizons of 1.5-2 years are significantly improved if a measure of symmetry of the price distribution is incorporated into the forecast equation. In contrast, the inclusion of price variability leads to deterioration in inflation forecasting performance.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
relative price skewness, relative price variability, inflation forecasting
in
Applied Economics Letters
volume
17
pages
593 - 596
publisher
Routledge
external identifiers
  • WOS:000277438100015
  • Scopus:77951086382
ISSN
1466-4291
DOI
10.1080/13504850802112260
language
English
LU publication?
yes
id
1b3fb303-34c8-45db-a806-06fed035a1a6 (old id 1387953)
date added to LUP
2009-04-20 12:27:27
date last changed
2016-10-13 04:53:26
@misc{1b3fb303-34c8-45db-a806-06fed035a1a6,
  abstract     = {We aim to forecast U.K. inflation out-of-sample. Our study uses disaggregated quarterly UK consumption data from 1964:1 to 2004:3. A major finding of our analysis is that inflation forecasts of long time horizons of 1.5-2 years are significantly improved if a measure of symmetry of the price distribution is incorporated into the forecast equation. In contrast, the inclusion of price variability leads to deterioration in inflation forecasting performance.},
  author       = {Binner, Jane M. and Elger, Thomas and Jones, Barry and Nilsson, Birger},
  issn         = {1466-4291},
  keyword      = {relative price skewness,relative price variability,inflation forecasting},
  language     = {eng},
  pages        = {593--596},
  publisher    = {ARRAY(0x9068590)},
  series       = {Applied Economics Letters},
  title        = {Inflation Forecasting, Relative Price Variability and Skewness},
  url          = {http://dx.doi.org/10.1080/13504850802112260},
  volume       = {17},
  year         = {2010},
}