Inflation Forecasting, Relative Price Variability and Skewness
نویسندگان
چکیده
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
منابع مشابه
Cross-Sectional Relative Price Variability and Inflation in Turkey: Time Varying Estimation
Abstract This study investigates the empirical validity of the variability hypothesis in Turkey for the period of February 2005-November 2015, by using cross-sectional relative price data and by focusing on the assumptions of linearity and stability. The linearity assumption between the two variables is ensured by estimating quadratic regression equation. The assumption of stability is secur...
متن کاملForecasting Crash risk using Business Strategy, Equity Overvaluation and Conditional Skewness in Stock Price
A firm is called to have stock price crash risk if the firm has a tendency to experience a sudden drop in its stock price. In this study, the relation between the firm-level of business strategy and future stock price crash risk Is examined, as well as the effect of stock overvaluation on the relationship between business strategy and crash risk investigated. Using the strategy index and crash ...
متن کاملInflation, relative prices and nominal rigidities - BIS Papers No 19, part 3, October 2003
This paper examines the distribution of Belgian consumer prices and its interaction with aggregate inflation over the period June 1976-September 2000. Given the fat-tailed nature of this distribution, both classical and robust measures of location, scale and skewness are presented. We found a positive short-run impact of the skewness of relative prices on aggregate inflation, irrespective of th...
متن کاملPrzemyslaw Wozniak RELATIVE PRICES AND INFLATION IN POLAND 1989-1997 (THE SPECIAL ROLE OF ADMINISTERED PRICE INCREASES)
This paper attempts to evaluate the magnitude of the influence of relative price shifts on the overall inflation in Poland during the period of 1989 to 1997. For that purpose, the theoretical model has been employed that predicts a positive relationship between variance and skewness of the distribution of relative price changes and the general inflation rate. Regressions performed in the framew...
متن کاملFurther evidence on the variability of inflation and relative price variability
Using a sample of monthly observations of both a 12-category group and a 203-category group of personal consumption expenditures, we furnish evidence that relative price variability is positively related to both the inflation rate and inflation variability. The relation is robust to oil-price shocks. 2000 Elsevier Science S.A. All rights reserved.
متن کامل