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An operational framework for the short-term forecasting of inflation

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Author Info

  • Maria K. Albani

    ()
    (Bank of Greece)

  • Nicholas G. Zonzilos

    ()
    (Bank of Greece)

  • Zacharias G. Bragoudakis

    ()
    (Bank of Greece)

Abstract

Over the last 15 years the Greek economy has made significant progress towards macroeconomic stability with a remarkable degree of inflation containment both in levels and volatility. These changes in inflation dynamics have implications for the short term forecasting of inflation. This paper proposes a framework to forecast Greek inflation (measured by both the National and the Harmonised indices, and the subcomponents of HICP) at an 18-month horizon by blending pure econometric model based forecasts with expert judgement. A rolling out of sample forecasting exercise as well as a battery of standard statistical tests suggests that the proposed underlying dynamic econometric model with the inclusion of variables reflecting economic activity, domestic and foreign costs, exchange rates etc. forecast encompasses simple benchmark specifications. This conclusion seems reasonably robust to alternative competing benchmarks.

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Bibliographic Info

Article provided by Bank of Greece, Economic Research Department in its journal Economic Bulletin.

Volume (Year): (2007)
Issue (Month): 29 (October)
Pages: 89-106

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Handle: RePEc:bog:econbl:y:2007:i:29:p:89-106

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Web page: http://www.bankofgreece.gr
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Keywords: inflation forecasting;

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Cited by:
  1. Faidon Kalfaoglou, 2012. "Bank capital adequacy framework," Economic Bulletin, Bank of Greece, Economic Research Department, issue 36, pages 43-81, April.
  2. Papaspyrou Theodoros, 2012. "EMU sustainability and the prospects of peripheral economies," Economic Bulletin, Bank of Greece, Economic Research Department, issue 36, pages 7-29, April.
  3. Costas N. Kanellopoulos, 2012. "Employment and worker flows during the financial crisis," Economic Bulletin, Bank of Greece, Economic Research Department, issue 36, pages 31-41, April.
  4. Zacharias Bragoudakis & Stelios Panagiotou, 2010. "Determinants of the receipts from shipping services: the case of Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 34, pages 41-55, September.
  5. Zacharias Bragoudakis & Dimitrios Sideris, 2012. "Do retail gasoline prices adjust symmetrically to crude oil price changes? the case of the Greek oil market," Economic Bulletin, Bank of Greece, Economic Research Department, issue 37, pages 7-21, December.
  6. Costas N. Kanellopoulos, 2012. "The Size and structure of uninsured employment," Economic Bulletin, Bank of Greece, Economic Research Department, issue 37, pages 23-41, December.
  7. Theodoros Mitrakos & Panos Tsaklogou & Ioannis Cholezas, 2010. "Determinants of the wage rates in Greece with an emphasis on the wages of tertiary education graduates," Economic Bulletin, Bank of Greece, Economic Research Department, issue 34, pages 7-40, September.
  8. Petros M. Migiakis, 2012. "Reviewing the proposals for common bond issuances by the euro-area sovereign under a long-term perspective," Economic Bulletin, Bank of Greece, Economic Research Department, issue 37, pages 43-54, December.
  9. Heather Gibson & hiona Balfousia, 2010. "The impact of nominal and real uncertainty on macroeconomic aggregates in Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 34, pages 57-71, September.

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