Premium
A markup model for forecasting inflation for the euro area
Author(s) -
Russell Bill,
Banerjee Anindya
Publication year - 2006
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.1000
Subject(s) - inflation (cosmology) , econometrics , economics , markup language , forecast error , mean squared error , forecast period , phillips curve , computer science , monetary policy , statistics , macroeconomics , mathematics , physics , theoretical physics , xml , operating system , cash , cash flow statement
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.