How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts

Frédérique Bec and Annabelle De Gaye

Working papers from Banque de France

Abstract: This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors for two different sets of recent forecasts data: the median of SPF inflation forecasts for the U.S. and the Central Bank inflation forecasts for France. Mainly two salient points emerge from our results. First, there is a significant contribution of oil price forecast errors to the explanation of inflation forecast errors, whatever the country or the period considered. Second, the pass-through of oil price forecast errors to inflation forecast errors is multiplied by around 2 when the oil price volatility is large.

Keywords: Forecast errors; Inflation rate; Oil price; Threshold model. (search for similar items in EconPapers)
JEL-codes: C22 E31 E37 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2014
New Economics Papers: this item is included in nep-cba, nep-ene, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:523

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