CHALMOVIANSKÝ, Jakub, Andrej SOKOL and Mario PORQUEDDU. Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area. European Central Bank, 2020. ISBN 978-92-899-4447-2. Available from: https://dx.doi.org/10.2866/467601.
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Basic information
Original name Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area
Authors CHALMOVIANSKÝ, Jakub, Andrej SOKOL and Mario PORQUEDDU.
Edition 2020.
Publisher European Central Bank
Other information
Original language English
Type of outcome Special-purpose publication
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Germany
Confidentiality degree is not subject to a state or trade secret
WWW ECB Working Paper Series
Organization unit Faculty of Economics and Administration
ISBN 978-92-899-4447-2
ISSN 1725-2806
Doi http://dx.doi.org/10.2866/467601
Keywords in English aggregation; inflation forecasting; Bayesian VAR model
Tags International impact, Reviewed
Changed by Changed by: Mgr. Jakub Chalmovianský, Ph.D., učo 380234. Changed: 14/12/2020 15:19.
Abstract
We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with forecasting practices at many policy institutions. Our main findings are that point forecasts perform similarly using both approaches, whereas directly forecasting aggregate indices tends to yield better density forecasts. In the aftermath of the Great Financial Crisis, relative forecasting performance was typically only affected temporarily. Inflation forecasts made by Eurosystem/ECB staff perform similarly or slightly better than those from our models for the euro area.
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