Inflation forecasting, relative price variability and skewness

Binner, Jane M.; Elger, Thomas; Jones, Barry E. and Nilsson, Birger (2010). Inflation forecasting, relative price variability and skewness. Applied Economics Letters, 17 (6), pp. 593-596.

Abstract

This article presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness.

Publication DOI: https://doi.org/10.1080/13504850802112260
Divisions: Aston Business School > Economics finance & entrepreneurship
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Uncontrolled Keywords: Economics and Econometrics
Published Date: 2010

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