Arbeitspapier
Semi-structural models for inflation forecasting
We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies. Structural estimation and testing is conducted using identification-robust methods that are valid whatever the identification status of the econometric model. We find that our semi-structural models perform better than various strictly structural and conventional time series models. In the latter case, forecasting performance is significantly better, both in the short run and in the medium run.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Working Paper ; No. 2010-34
- Classification
-
Wirtschaft
Estimation: General
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
- Subject
-
Inflation and prices
Econometric and statistical methods
Inflationsrate
Prognose
Prognoseverfahren
Lohnstückkosten
Außenwirtschaft
Zeitreihenanalyse
Kanada
- Event
-
Geistige Schöpfung
- (who)
-
Kichian, Maral
Rumler, Fabio
Corrigan, Paul
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2010
- DOI
-
doi:10.34989/swp-2010-34
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kichian, Maral
- Rumler, Fabio
- Corrigan, Paul
- Bank of Canada
Time of origin
- 2010
Other Objects (12)
Forecasting inflation and the inflation risk premiums using nominal yields
A structural VAR approach to core inflation in Canada
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Perceived inflation persistence
Gold prices and inflation
Central bank performance under inflation targeting
Inflation and unemployment in competitive search equilibrium
State correlation and forecasting: A Bayesian approach using unobserved components models
Price level versus inflation targeting under model uncertainty
Are commodity prices useful leading indicators of inflation?
Monetary policy lag, zero lower bound, and inflation targeting
A portfolio-balance model of inflation and yield curve determination
Forecasting inflation and the inflation risk premiums using nominal yields
A structural VAR approach to core inflation in Canada
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Perceived inflation persistence
Gold prices and inflation
Central bank performance under inflation targeting
Inflation and unemployment in competitive search equilibrium
State correlation and forecasting: A Bayesian approach using unobserved components models
Price level versus inflation targeting under model uncertainty
Are commodity prices useful leading indicators of inflation?
Monetary policy lag, zero lower bound, and inflation targeting
A portfolio-balance model of inflation and yield curve determination
Forecasting inflation and the inflation risk premiums using nominal yields
A structural VAR approach to core inflation in Canada
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Perceived inflation persistence
Gold prices and inflation
Central bank performance under inflation targeting
Inflation and unemployment in competitive search equilibrium
State correlation and forecasting: A Bayesian approach using unobserved components models
Price level versus inflation targeting under model uncertainty
Are commodity prices useful leading indicators of inflation?
Monetary policy lag, zero lower bound, and inflation targeting