Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152681
Authors: 
Hubrich, Kirstin
Year of Publication: 
2003
Series/Report no.: 
ECB Working Paper 247
Abstract: 
Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECB's monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inflation can be improved by aggregating forecasts of subindices of the Harmonized Index of Consumer Prices (HICP) as opposed to forecasting the aggregate HICP directly. The analysis includes univariate and multivariate linear time series models and distinguishes between different forecast horizons, HICP components and inflation measures. Various model selection procedures are employed to select models for the aggregate and the disaggregate components. The results indicate that aggregating forecasts by component does not necessarily help forecast year-on-year inflation twelve months ahead.
Subjects: 
Euro Area Inflation
HICP subindex forecast aggregation
linear time series models
JEL: 
E31
E37
C53
C32
Document Type: 
Working Paper

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