Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229115
Authors: 
Chalmoviansk´y, Jakub
Porqueddu, Mario
Sokol, Andrej
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2501
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.
Subjects: 
aggregation
inflation forecasting
Bayesian VAR model
JEL: 
C11
C32
C53
E37
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4447-2
Document Type: 
Working Paper

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