The indicator models of core inflation for Canada / by Richard Dion. : FB3-2/99-13E
When there is uncertainty about estimates of the margin of unused capacity in the economy, examining a range of inflation indicators may help in assessing the balance of risks regarding the outlook for inflation. This paper tests a wide range of observable variables for their leading-indicator properties with respect to core inflation, including: commodity prices, cost indicators, measures of capacity pressures in labour and product markets, and components of the consumer price index (CPI) itself. After a preliminary screening of indicators using Granger causality tests, estimated bivariate indicator models generate post-sample static forecasts one quarter ahead and two quarters ahead over the period 1995 (Q1). A ridge regression technique is used to optimally combine selected bivariate forecasts into multivariate forecasts. The root-mean-squared errors of both the bivariate and multivariate forecasts are compared with those of benchmark models -- a Phillips curve, an autoregressive model, and two naive models.--Abstract
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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | The indicator models of core inflation for Canada / by Richard Dion. |
| Titre de la série | Working paper1192-543499-13 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[Anglais] |
| Note(s) | "When there is uncertainty about estimates of the margin of unused capacity in the economy, examining a range of inflation indicators may help in assessing the balance of risks regarding the outlook for inflation. This paper tests a wide range of observable variables for their leading-indicator properties with respect to core inflation, including: commodity prices, cost indicators, measures of capacity pressures in labour and product markets, and components of the consumer price index (CPI) itself. After a preliminary screening of indicators using Granger causality tests, estimated bivariate indicator models generate post-sample static forecasts one quarter ahead and two quarters ahead over the period 1995 (Q1). A ridge regression technique is used to optimally combine selected bivariate forecasts into multivariate forecasts. The root-mean-squared errors of both the bivariate and multivariate forecasts are compared with those of benchmark models -- a Phillips curve, an autoregressive model, and two naive models."--Abstract. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 1999. |
| Reliure | Softcover |
| Description | v, 20p. : references, tables ; 28 cm. |
| ISBN | 0-662-28177-2 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Numéro de catalogue du ministère | 99-13 |
| Descripteurs | Inflation Forecasting Models |