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

State University of New York at Binghamton
Lunds Universitet
Aston University

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

2 Citations (Scopus)

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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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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AU - Elger, Thomas

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AB - 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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SP - 593

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JO - Applied Economics Letters

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Inflation forecasting, relative price variability and skewness

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