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.
Department/s
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