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A markup model for forecasting inflation for the euro area

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  • Anindya Banerjee

    (Department of Economics, European University Institute, Firenze, Italy)

  • Bill Russell

    (Department of Economic Studies, University of Dundee, Dundee, UK)

Abstract

We develop a small model for forecasting inflation for the euro area using quarterly data over the period June 1973 to March 1999. The model is used to provide inflation forecasts from June 1999 to March 2002. We compare the forecasts from our model with those derived from six competing forecasting models, including autoregressions, vector autoregressions and Phillips-curve based models. A considerable gain in forecasting performance is demonstrated using a relative root mean squared error criterion and the Diebold-Mariano test to make forecast comparisons.  Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1000
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 25 (2006)
Issue (Month): 7 ()
Pages: 495-511

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Handle: RePEc:jof:jforec:v:25:y:2006:i:7:p:495-511

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Cited by:
  1. Bill Russell, 2006. "Non-Stationary Inflation and the Markup: an Overview of the Research and some Implications for Policy," Dundee Discussion Papers in Economics 191, Economic Studies, University of Dundee.
  2. Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2011. "A Multiple Break Panel Approach To Estimating United States Phillips Curves," Dundee Discussion Papers in Economics 252, Economic Studies, University of Dundee.
  3. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.

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