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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. 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.
  2. Jordi Gali & Mark Gertler & J. David Lopez-Salido, 2001. "European Inflation Dynamics," NBER Working Papers 8218, National Bureau of Economic Research, Inc.
  3. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-44, September.
  4. 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.
  5. Stefan Gerlach & Lars E.O. Svensson, 2000. "Money and Inflation in the Euro Area: A Case for Monetary Indicators?," NBER Working Papers 8025, National Bureau of Economic Research, Inc.
  6. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003. "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1243-1255, September.
  7. 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.
  8. 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.
  9. Wynne, Mark A., 1999. "Core inflation: a review of some conceptual issues," Working Paper Series 0005, European Central Bank.
  10. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  11. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 0151, European Central Bank.
  12. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc.
  13. Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
  14. 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.
  15. Gavosto Andrea & Sabbatini Roberto, 1997. "Misure di "core inflation"," Politica economica, Società editrice il Mulino, issue 1, pages 67-86.
  16. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
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