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@misc{1709436, author = {Chalmovianský, Jakub and Sokol, Andrej and Porqueddu, Mario}, doi = {http://dx.doi.org/10.2866/467601}, keywords = {aggregation; inflation forecasting; Bayesian VAR model}, language = {eng}, isbn = {978-92-899-4447-2}, publisher = {European Central Bank}, title = {Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area}, url = {https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2501~8797484f4b.en.pdf}, year = {2020} }
TY - GEN ID - 1709436 AU - Chalmovianský, Jakub - Sokol, Andrej - Porqueddu, Mario PY - 2020 TI - Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area PB - European Central Bank SN - 9789289944472 KW - aggregation KW - inflation forecasting KW - Bayesian VAR model UR - https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2501~8797484f4b.en.pdf N2 - 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. ER -
CHALMOVIANSKÝ, Jakub, Andrej SOKOL and Mario PORQUEDDU. \textit{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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