Forecasting inflation using economic indicators: The case of France

Journal of Forecasting

Volumn 26, Issue 1, 2007, Pages 1-22

  Bruneau, C ^a   De Bandt, O ^b   Flageollet, A ^a   Michaux, E ^b,c  

^a UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^b BANQUE DE FRANCE   (France)

^c HSBC Halbis Partners   (France)

Author keywords

Data snooping; Dynamic factor models; Indicator models; Inflation; Out of sample forecast; Phillips curve

Indexed keywords

DATA ACQUISITION; ECONOMIC AND SOCIAL EFFECTS; MATHEMATICAL MODELS; STATISTICAL METHODS; SURVEYS;

DATA SNOOPING; DYNAMIC FACTOR MODELS; INDICATOR MODELS; INFLATION; OUT OF SAMPLE FORECASTS; PHILLIPS CURVES;

INDUSTRIAL ECONOMICS;

EID: 33846643606     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1001     Document Type: Article

References (29)

1. Angelini E, Henry J, Mestre R. 2001. Diffusion-index based inflation forecasts for the euro area. European Central Bank working paper 61, April.
2. Artis MJ, Banerjee A, Marcellino M. 2005. Factor forecasts for the UK. EUI Discussion Paper, ECO 2001/15. Journal of Forecasting 24: 279-298.
3. Atkeson A, Ohanian LE. 2001. Are Phillips curve useful for forecasting inflation? Federal Reserve Bank of Minneapolis Quarterly Review 25(1): 2-11.
4. Banerjee A, Marcellino M, Masten I. 2004. Forecasting macroeconomic variables for the acceding countries. EUI working paper.
5. Baudry L. 1998. La création, sur longue période et par secteurs, d'indices de prix à la consommation harmonisés. DGE-DEER, mimeo.
6. Bilke L. 2005. Break in the mean and persistence of inflation: a sectoral approach. European Central Bank working paper 363, March.
7. Bruneau C, de Bandt O, Flageollet A, Michaux E. 2004. Forecasting inflation using economic indicators: the case of France. Banque de France, Notes d'Etudes et de Recherche, no. 101.
8. Cecchetti SO, Chu RS, Steindel C. 2000. The unreliability of inflation indicators. Current Issues in Economics and Finance, Federal Reserve Bank of New York, April.
9. Clark TE, McCracken MW. 2001. Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 105: 85-110.
10. Clark TE, McCracken MW. 2002. Evaluating long-horizon forecasts. Federal Reserve Bank of Kansas City working paper RWP 01-14, revised.
11. Clements M, Hendry DF. 1999. Forecasting Non-Stationary Time Series. MIT Press: Cambridge, MA.
12. Cristadoro R, Fomi M, Reichlin L, Veronese G. 2005. A core inflation indicator for the euro area. Journal of Money, Credit and Banking 37(3): 539-560.
13. DEMETRA. 2000. Seasonal Adjustment interface for Tramo/Seats, User manual, version 1.4. Eurostat, Statistical Office of the European Communities.
14. den Reijer A, Vlaar P. 2006. Forecasting inflation: an art as well as a science. De Economist 154(1): 1-22.
15. Diebold FX, Mariano RS. 1995. Comparing predictice accuracy. Journal of Business and Economic Statistics 13(8): 253-263.
16. Duarte C, Rua A. 2005. Forecasting inflation through a bottom-up approach: the Portuguese case. Banco de Portugal working paper 2-05, March.
17. Fritzer F, Moser G, Scharler J. 2002. Forecasting Austrian HICP and its components using VAR and ARIMA models. Oesterreichische Nationalbank working paper, 91, August.
18. Hamilton J. 1994. Time Series Analysis. Princeton University Press: Princeton, NJ.
19. Hansen PR. 2001. A test for superior predictive ability. Brown University economics working paper, 2001-06.
20. Harvey DI, Leybourne SJ, Newbold P. 1998. Tests for forecast encompassing. Journal of Business and Economics Statistics 16(April): 254-259.
21. Hendry D. 1995. Dynamic Econometrics. Oxford University Press: Oxford.
22. Hubrich K. 2005. Forecasting euro area inflation: does aggregating forecasts by component improve forecast accuracy? European Central Bank working paper no. 247. International Journal of Forecasting 21(1): 119-136.
23. Kilian L. 1999. Exchange rates and monetary fundamentals: what do we learn from long-horizon regression? Journal of Applied Econometrics 14(September-October): 491.
24. Marcellino M, Stock JH, Watson MW. 2003. Macroeconomic forecasting in the Euro area: country specific versus area-wide information. European Economic Review 47(1): 1-18.
25. Marcellino M, Stock JH, Watson MW. 2005. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics (forthcoming).
26. Pluyaud B. 2002. A revised version of the inflation forecasting model of the Banque de France. Banque de France, DEER-SEMEP, mimeo.
27. Stock JH, Watson MW. 1998. Diffusion indexes. NBER working paper no. 6702 (revised version: Macroeconomic forecasting using diffusion indexes. June 2001).
28. Stock JH, Watson MW. 1999. Forecasting inflation. Journal of Monetary Economics 44: 293-305.
29. White H. 2000. A reality check for data snooping. Econometrica 68(5): 1097-1126.