The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Inflation Forecasting, Relative Price Variability and Skewness

Author

Summary, in English

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.

Publishing year

2010

Language

English

Pages

593-596

Publication/Series

Applied Economics Letters

Volume

17

Document type

Journal article

Publisher

Routledge

Topic

  • Economics

Keywords

  • relative price skewness
  • relative price variability
  • inflation forecasting

Status

Published

ISBN/ISSN/Other

  • ISSN: 1466-4291