Forecasting Spanish inflation using information from different sectors and geographical areas

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Show simple item record Tena Horrillo, Juan de Dios Espasa, Antoni Pino, Gabriel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2008-01-14T12:11:01Z 2008-03-10T09:32:51Z 2008-01-14T12:11:01Z 2008-03-10T09:32:51Z 2008-01
dc.description.abstract This paper evaluates different strategies to forecast Spanish inflation using information of price series for 57 products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration relationships between Spanish prices and prices in the regions of Valencia, Andalusia, Madrid, Catalonia and the Basque Country. This approach is consistent with economic intuition and is shown to be of tangible importance after suitable econometric evaluation. It is found that inflation forecasts can always be improved by aggregating projections from differente sectors and geographical areas. Moreover, cointegration relationships between regional and national prices must be considered in order to obtain a significantly better inflation forecast.
dc.format.extent 170291 bytes
dc.format.extent 49 bytes
dc.format.extent 4922 bytes
dc.format.extent 2941 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 2008-01
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Vector equilibrium correction models
dc.subject.other Relative prices
dc.subject.other Cointegration
dc.subject.other Disaggregation
dc.title Forecasting Spanish inflation using information from different sectors and geographical areas
dc.type workingPaper
dc.subject.jel C2
dc.subject.jel C5
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws080101
dc.affiliation.dpto UC3M. Departamento de Estadística
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