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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]

  • Rapacciuolo, Ciro

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/7714/1/MPRA_paper_7714.pdf
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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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  1. Galí, Jordi & Gertler, Mark & López-Salido, J David, 2001. "European Inflation Dynamics," CEPR Discussion Papers 2684, C.E.P.R. Discussion Papers.
  2. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, issue May, pages 205-228.
  3. Roberto Golinelli, 1996. "Modellazione Econometrica per la previsione congiunturale: un esercizio su produzione, prezzi e moneta," Working Papers 246, Dipartimento Scienze Economiche, Universita' di Bologna.
  4. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 0151, European Central Bank.
  5. 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.
  6. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February.
  7. 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.
  8. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.
  9. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc.
  10. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  11. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.
  12. Quah, Danny, 1995. "Measuring Core Inflation," CEPR Discussion Papers 1153, C.E.P.R. Discussion Papers.
  13. Gavosto Andrea & Sabbatini Roberto, 1997. "Misure di "core inflation"," Politica economica - Journal of Economic Policy (PEJEP), Società editrice il Mulino, issue 1, pages 67-86.
  14. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
  15. Danny Quah & Danny Quah & Shaun P. Vahey, 1995. "Measuring Core Inflation," CEP Discussion Papers dp0254, Centre for Economic Performance, LSE.
  16. 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.
  17. Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
  18. 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.
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