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Inflation forecasting, relative price variability and skewness

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  • Jane Binner
  • Thomas Elger
  • Barry Jones
  • Birger Nilsson

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.

Suggested Citation

  • Jane Binner & Thomas Elger & Barry Jones & Birger Nilsson, 2010. "Inflation forecasting, relative price variability and skewness," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 593-596.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:6:p:593-596
    DOI: 10.1080/13504850802112260
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    References listed on IDEAS

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    1. Bordo, Michael David, 1980. "The Effects of Monetary Change on Relative Commodity Prices and the Role of Long-Term Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1088-1109, December.
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    2. Job Nmadu & Ezekiel Yisa & Usman Mohammed & Halima Sallawu & Yebosoko Nmadu & Sokoyami Nmadu, 2022. "Structural Analysis and Forecast of Nigerian Monthly Inflation Movement between 1996 and 2022," RAIS Conference Proceedings 2022-2024 0211, Research Association for Interdisciplinary Studies.

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