Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors
Inflation in the European Monetary Union is measured by the Harmonized Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the HICP by countries. Both disaggregations are of interest because in each one, the component prices are not fully cointegrated, having more than one common factor in their trends. The paper shows that the breakdown by group of markets improves the European inflation forecasts and constitutes a framework in which general and specific indicators can be introduced for further improvements.
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Volume (Year): 8 (2002)
Issue (Month): 4 ()
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References listed on IDEAS
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- Tobias, Justin & Zellner, Arnold, 2000.
"A Note on Aggregation, Disaggregation and Forecasting Performance,"
Staff General Research Papers Archive
12024, Iowa State University, Department of Economics.
- Zellner, Arnold & Tobias, Justin, 2004. "A Note on Aggregation, Disaggregation and Forecasting Performance," Staff General Research Papers Archive 12371, Iowa State University, Department of Economics.
- James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. Full references (including those not matched with items on IDEAS)
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