G-7 Inflation Forecasts

46 Pages Posted: 17 Jan 2003

See all articles by Fabio Canova

Fabio Canova

BI Norwegian Business School

Multiple version iconThere are 2 versions of this paper

Date Written: June 2002

Abstract

This paper compares the forecasting performance of some leading models of inflation for the cross section of G-7 countries. We show that bivariate and trivariate models suggested by economic theory or statistical analysis are hardly better than univariate models. Phillips curve specifications fit well into this class. Significant improvements in both the MSE of the forecasts and turning point prediction are obtained with time varying coefficient models which exploit international interdependencies. The performance of the latter class of models is independent of the sample, while it is not the case for standard specifications.

Keywords: Forecasting, Inflation, Panel VAR models, Markov Chain Monte Carlo Methods

JEL Classification: E0, E5

Suggested Citation

Canova, Fabio, G-7 Inflation Forecasts (June 2002). Available at SSRN: https://ssrn.com/abstract=357920 or http://dx.doi.org/10.2139/ssrn.357920

Fabio Canova (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway