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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.

Suggested Citation

  • Rapacciuolo, Ciro, 2003. "Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana
    [A simple model for the short term forecasting of Italian inflation]
    ," MPRA Paper 7714, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:7714
    as

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    File URL: https://mpra.ub.uni-muenchen.de/7714/1/MPRA_paper_7714.pdf
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    References listed on IDEAS

    as
    1. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, issue May, pages 205-228.
    2. 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.
    3. Andrea Gavosto & Roberto Sabbatini, 1997. "Misure di "core inflation"," Politica economica, Società editrice il Mulino, issue 1, pages 67-86.
    4. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.
    5. Canova, Fabio, 2002. "G-7 Inflation Forecasts," CEPR Discussion Papers 3283, C.E.P.R. Discussion Papers.
    6. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," The Quarterly Journal of Economics, Oxford University Press, vol. 115(1), pages 147-180.
    7. Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
    8. Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001. "European inflation dynamics," European Economic Review, Elsevier, vol. 45(7), pages 1237-1270.
    9. 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.
    10. Gerlach, Stefan & Svensson, Lars E. O., 2003. "Money and inflation in the euro area: A case for monetary indicators?," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1649-1672, November.
    11. 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.
    12. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
    13. 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.
    14. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters,in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc.
    15. R. Golinelli, 1996. "Modellazione Econometrica per la previsione congiunturale: un esercizio su produzione, prezzi e moneta," Working Papers 246, Dipartimento Scienze Economiche, Universita' di Bologna.
    16. 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.
    17. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
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    More about this item

    Keywords

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

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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