Forecasting Inflation Across Euro Area Countries and Sectors: A Panel VAR Approach: Forecasting Inflation: A Panel VAR Approach
| dc.rights.license | open | en_US |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | DEES, Stephane | |
| dc.contributor.author | GUNTNER, Jochen | |
| dc.date.accessioned | 2022-12-13T15:26:16Z | |
| dc.date.available | 2022-12-13T15:26:16Z | |
| dc.date.issued | 2017-07 | |
| dc.identifier.issn | 0277-6693 | en_US |
| dc.identifier.uri | oai:crossref.org:10.1002/for.2444 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/170612 | |
| dc.description.abstractEn | In this paper, we adopt a panel vector autoregressive (PVAR) approach to estimating and forecasting inflation dynamics in four different sectors—industry, services, construction and agriculture—across the euro area and its four largest member states: France, Germany, Italy and Spain. By modelling inflation together with real activity, employment and wages at the sectoral level, we are able to disentangle the role of unit labour costs and profit margins as the fundamental determinants of price dynamics on the supply side. In out-of-sample forecast comparisons, the PVAR approach performs well against popular alternatives, especially at a short forecast horizon and relative to standard VAR forecasts based on aggregate economy-wide data. Over longer forecast horizons, the accuracy of the PVAR model tends to decline relative to that of the univariate alternatives, while it remains high relative to the aggregate VAR forecasts. We show that these findings are driven by the event of the Great Recession. Our qualitative results carry over to a multi-country extension of the PVAR approach. Copyright © 2016 John Wiley & Sons, Ltd. | |
| dc.language.iso | EN | en_US |
| dc.source | crossref | |
| dc.subject.en | Economic fundamentals | |
| dc.subject.en | Inflation forecasting | |
| dc.subject.en | Panel VAR model | |
| dc.subject.en | Sector-level data | |
| dc.title.en | Forecasting Inflation Across Euro Area Countries and Sectors: A Panel VAR Approach: Forecasting Inflation: A Panel VAR Approach | |
| dc.type | Article de revue | en_US |
| dc.identifier.doi | 10.1002/for.2444 | en_US |
| dc.subject.hal | Sciences de l'Homme et Société/Economies et finances | en_US |
| bordeaux.journal | Journal of Forecasting | en_US |
| bordeaux.page | 431-453 | en_US |
| bordeaux.volume | 36 | en_US |
| bordeaux.hal.laboratories | Laboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954 | en_US |
| bordeaux.issue | 4 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.institution | CNRS | en_US |
| bordeaux.peerReviewed | oui | en_US |
| bordeaux.inpress | non | en_US |
| bordeaux.import.source | dissemin | |
| hal.identifier | hal-03897014 | |
| hal.version | 1 | |
| hal.date.transferred | 2022-12-13T15:26:18Z | |
| hal.export | true | |
| workflow.import.source | dissemin | |
| dc.rights.cc | Pas de Licence CC | en_US |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal%20of%20Forecasting&rft.date=2017-07&rft.volume=36&rft.issue=4&rft.spage=431-453&rft.epage=431-453&rft.eissn=0277-6693&rft.issn=0277-6693&rft.au=DEES,%20Stephane&GUNTNER,%20Jochen&rft.genre=article |
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