Arbeitspapier
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using factor models. In this paper we estimate factors from datasets of disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other measures of underlying in?ation built from more traditional methods. The power to forecast headline in?ation over horizons of 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area countries as well as for the euro area are presented.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 402
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Core Inflation
Dynamic Factor Models
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Camba-Méndez, Gonzalo
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Camba-Méndez, Gonzalo
- Kapetanios, George
- European Central Bank (ECB)
Entstanden
- 2004
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