Forecasting disaggregates by sectors and regions : the case of inflation in the euro area and Spain

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Show simple item record Pino, Gabriel Tena Horrillo, Juan de Dios Espasa, Antoni
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2013-05-14T13:16:57Z 2013-05-14T13:16:57Z 2013-05
dc.description.abstract We study the performance of different modelling strategies for 969 and 600 monthly price indexes disaggregated by sectors and geographical areas in Spain, regions, and in the EA12, countries, in order to obtain a detailed picture of inflation and relative sectoral prices through geographical areas for each economy, using the forecasts from those models. The study also provides a description of the spatial cointegration restrictions which could be useful for understanding price setting within an economy. We use spatial bi-dimensional vector equilibrium correction models, where the price indexes for each sector are allowed to be cointegrated with prices in neighbouring areas using different definitions of neighbourhood. We find that geographical disaggregation forecasts are very reliable on a regional level in Spain as they improve the forecasting accuracy of headline inflation relative to alternative methods. Geographical disaggregation forecasts are also reliable for the EA12 but only because derived headline inflation forecasting is not significantly worse than alternative forecasts. These results show that regional analysis within countries is appropriate in the euro area. These highly disaggregated forecasts can be used for competitive and other type of macro and regional analysis
dc.description.sponsorship Antoni Espasa and Juan de Dios Tena acknowledge financial support from Ministerio de Educación y Ciencia, ECO2009-08100 and ECO2012-32401
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 13-07
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Spatial cointegration
dc.subject.other Regional and sectoral prices
dc.subject.other Regional analysis
dc.subject.other Relative prices
dc.subject.other Price setting
dc.subject.other Competitiveness
dc.title Forecasting disaggregates by sectors and regions : the case of inflation in the euro area and Spain
dc.type workingPaper
dc.subject.jel C2
dc.subject.jel C5
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-32401
dc.relation.projectID Gobierno de España. ECO2009-08100
dc.type.version submitedVersion
dc.identifier.repec ws130807
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