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How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts

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  • Frédérique Bec

    (THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université)

  • Annabelle de Gaye

    (THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université)

Abstract

This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors for three different sets of recent forecast data: the median of SPF inflation forecasts for the United States and the Central Bank inflation forecasts for France and the United Kingdom. Mainly two salient points emerge from our results. First, there is a significant contribution of oil price forecast errors to the explanation of inflation forecast errors, whatever the country or the period considered. Second, the pass-through of oil price forecast errors to inflation forecast errors is typically multiplied by around 2 when the oil price volatility is large.
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  • Frédérique Bec & Annabelle de Gaye, 2016. "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts," Post-Print hal-02980184, HAL.
    • Handle: RePEc:hal:journl:hal-02980184
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    3. Salisu, Afees A. & Ademuyiwa, Idris & Isah, Kazeem O., 2018. "Revisiting the forecasting accuracy of Phillips curve: The role of oil price," Energy Economics, Elsevier, vol. 70(C), pages 334-356.
    4. Pal, Debdatta & Mitra, Subrata Kumar, 2019. "Asymmetric oil price transmission to the purchasing power of the U.S. dollar: A multiple threshold NARDL modelling approach," Resources Policy, Elsevier, vol. 64(C).
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    7. Sun, Qingru & An, Haizhong & Gao, Xiangyun & Guo, Sui & Wang, Ze & Liu, Siyao & Wen, Shaobo, 2019. "Effects of crude oil shocks on the PPI system based on variance decomposition network analysis," Energy, Elsevier, vol. 189(C).
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