Inflation forecasting, relative price variability and skewness

Jane M. Binner; Thomas Elger; Barry E. Jones; Birger Nilsson

doi:10.1080/13504850802112260

Inflation forecasting, relative price variability and skewness

Jane M. Binner, Thomas Elger, Barry E. Jones, Birger Nilsson

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	593-596
Number of pages	4
Journal	Applied Economics Letters
Volume	17
Issue number	6
Early online date	9 Sept 2008
DOIs	https://doi.org/10.1080/13504850802112260
Publication status	Published - 2010

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10.1080/13504850802112260

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title = "Inflation forecasting, relative price variability and skewness",

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.",

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Inflation forecasting, relative price variability and skewness

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