Arbeitspapier
To aggregate or not to aggregate? Euro area inflation forecasting
In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a whole, considering the four largest euro area countries. The direct approach provides clearly better results than the indirect approach for 12 and 18 steps ahead for the overall HICP, while for shorter horizons the results are mixed. For the euro area HICP excluding unprocessed food and energy(HICPX), the indirect forecast outperforms the direct whereas the differences are only marginal for the countries. The aggregation of country forecasts does not seem to improve upon the forecast of the euro area HICP and HICPX. This result has however to be taken with caution as differences appear to be rather small and due to the limited country coverage.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 374
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Bayesian VARs
Forecasting short-term inflation
HICP sub-components/aggregation
Model Selection
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Benalal, Nicholai
Diaz del Hoyo, Juan Luis
Landau, Bettina
Roma, Moreno
Skudelny, Frauke
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Benalal, Nicholai
- Diaz del Hoyo, Juan Luis
- Landau, Bettina
- Roma, Moreno
- Skudelny, Frauke
- European Central Bank (ECB)
Entstanden
- 2004
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