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Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana
[A simple model for the short term forecasting of Italian inflation]

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  • Rapacciuolo, Ciro

Abstract

The aim of this paper is to build a tool for performing forecasting exercises, allowing to obtain a reliable estimate of Italian consumer price inflation. To reach this goal we estimate a simple three-equation model for the short term forecasting of twelve-month percentage variations of the Italian consumer price index. The starting point of the model is the decomposition of the general index in a main component, the so-called core inflation, capturing longer term tendencies and two additional volatile components, those of unprocessed food and energy prices. The idea is that it is exactly core inflation which is possible to explain and forecast with a set of basic economic variables acting as leading indicators.

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File URL: http://mpra.ub.uni-muenchen.de/7714/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7714.

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Date of creation: Jun 2003
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Handle: RePEc:pra:mprapa:7714

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Related research

Keywords: Inflazione : Previsioni e simulazioni : Modelli di serie storiche : Costruzione e stima di modelli econometrici;

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References

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  1. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 0151, European Central Bank.
  2. Marc Hallin & Mario Forni & Marco Lippi & Lucrezia Reichlin, 2003. "Do financial variables help forecasting inflation and real activity in the Euro area ?," ULB Institutional Repository 2013/2123, ULB -- Universite Libre de Bruxelles.
  3. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  4. Vega, Juan Luis & Wynne, Mark A., 2001. "An evaluation of some measures of core inflation for the euro area," Working Paper Series 0053, European Central Bank.
  5. Quah, Danny, 1995. "Measuring Core Inflation," CEPR Discussion Papers 1153, C.E.P.R. Discussion Papers.
  6. Mark A. Wynne, 1999. "Core inflation: a review of some conceptual issues," Working Papers 9903, Federal Reserve Bank of Dallas.
  7. Richard Clarida & Jordi Galí & Mark Gertler, 1997. "Monetary policy rules and macroeconomic stability: Evidence and some theory," Economics Working Papers 350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
  8. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc.
  9. Jordi Gali & Mark Gertler & J. David Lopez-Salido, 2001. "European Inflation Dynamics," NBER Working Papers 8218, National Bureau of Economic Research, Inc.
  10. Cristadoro, Riccardo & Forni, Mario & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "A Core Inflation Index for the Euro Area," CEPR Discussion Papers 3097, C.E.P.R. Discussion Papers.
  11. Lars E.O. Svensson & Stefan Gerlach, 2001. "Money and inflation in the Euro Area: A case for monetary indicators?," BIS Working Papers 98, Bank for International Settlements.
  12. Rapacciuolo, Ciro, 2002. "L'aritmetica del congiunturalista: misure di confronto temporale e loro relazioni
    [Business cycle arithmetic: time variation measures and their relations]
    ," MPRA Paper 7442, University Library of Munich, Germany.
  13. Danny Quah & Danny Quah & Shaun P. Vahey, 1995. "Measuring Core Inflation," CEP Discussion Papers dp0254, Centre for Economic Performance, LSE.
  14. Fabio Bagliano & Roberto Golinelli & Claudio Morana, 2002. "Core inflation in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 353-357.
  15. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
  16. Roberto Golinelli, 1996. "Modellazione Econometrica per la previsione congiunturale: un esercizio su produzione, prezzi e moneta," Working Papers 246, Dipartimento Scienze Economiche, Universita' di Bologna.
  17. Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
  18. Gavosto Andrea & Sabbatini Roberto, 1997. "Misure di "core inflation"," Politica economica, Società editrice il Mulino, issue 1, pages 67-86.
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