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Does global inflation help forecast inflation in industrialized countries?

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  • Christian Gillitzer
  • Martin McCarthy

Abstract

Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524–535) propose an inflation forecasting model incorporating a global inflation factor and show that it consistently beats several standard forecasting benchmarks. We show that CM's global inflation model does not improve upon the Atkeson and Ohanian (AO; Federal Reserve Bank of Minneapolis Quarterly Review, 2001, 25(1), 2–11) naive benchmark. However, we find that augmenting the AO model with a global inflation factor improves forecast accuracy at longer horizons, supporting CM's claim about the usefulness of global inflation.

Suggested Citation

  • Christian Gillitzer & Martin McCarthy, 2019. "Does global inflation help forecast inflation in industrialized countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 850-857, August.
  • Handle: RePEc:wly:japmet:v:34:y:2019:i:5:p:850-857
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    File URL: https://doi.org/10.1002/jae.2704
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