Inflation forecasting, relative price variability and skewness
نویسندگان
چکیده
منابع مشابه
Inflation Forecasting, Relative Price Variability and Skewness
This paper presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. JEL: E17, E31, C43
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The relationship between inflation and relative price variability (RPV) is widely believed to be positive and stable. Using disaggregated CPI data for the U.S. and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U-shaped and symmetric around a certain threshold: a positive correlation on one side but a trad...
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The relationship between inflation and relative price variability (RPV) is widely believed to be positive and stable. Using disaggregated CPI data for the U.S. and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U-shaped and symmetric around a certain threshold: a positive correlation on one side but a trad...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2010
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504850802112260