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Does global inflation help forecast inflation in industrialized countries?*

* This paper is a replication of an original study

Author

Listed:
  • Christian Gillitzer
  • Martin McCarthy

Abstract

Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524–535) propose an inflation forecasting model incorporating a global inflation factor and show that it consistently beats several standard forecasting benchmarks. We show that CM's global inflation model does not improve upon the Atkeson and Ohanian (AO; Federal Reserve Bank of Minneapolis Quarterly Review, 2001, 25(1), 2–11) naive benchmark. However, we find that augmenting the AO model with a global inflation factor improves forecast accuracy at longer horizons, supporting CM's claim about the usefulness of global inflation.

Suggested Citation

  • Christian Gillitzer & Martin McCarthy, 2019. "Does global inflation help forecast inflation in industrialized countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 850-857, August.
    • Handle: RePEc:wly:japmet:v:34:y:2019:i:5:p:850-857
    DOI: 10.1002/jae.2704
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    Citations

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    Cited by:

    1. Luca Margaritella & Ovidijus Stauskas, 2024. "New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings," Papers 2409.20415, arXiv.org, revised Oct 2024.
    2. Kamber, Güneş & Wong, Benjamin, 2020. "Global factors and trend inflation," Journal of International Economics, Elsevier, vol. 122(C).
    3. Cepni, Oguzhan & Clements, Michael P., 2024. "How local is the local inflation factor? Evidence from emerging European countries," International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
    4. Emanuel Kohlscheen, 2021. "What does machine learning say about the drivers of inflation?," BIS Working Papers 980, Bank for International Settlements.
    5. Yuqing Feng & Yaojie Zhang & Yudong Wang, 2024. "Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 567-582, April.

    Replication

    This item is a replication of:
  • Matteo Ciccarelli & Benoît Mojon, 2010. "Global Inflation," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 524-535, August.

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    1. Does global inflation help forecast inflation in industrialized countries? (Journal of Applied Econometrics 2019) in ReplicationWiki

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