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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.
Please use this url to cite or link to this publication:
author
; ; and
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
2016-04-04 13:11:11
date last changed
2022-01-29 23:52:01
@article{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}},
  keywords     = {{relative price skewness; relative price variability; inflation forecasting}},
  language     = {{eng}},
  pages        = {{593--596}},
  publisher    = {{Routledge}},
  series       = {{Applied Economics Letters}},
  title        = {{Inflation Forecasting, Relative Price Variability and Skewness}},
  url          = {{http://dx.doi.org/10.1080/13504850802112260}},
  doi          = {{10.1080/13504850802112260}},
  volume       = {{17}},
  year         = {{2010}},
}