Testing for asymmetries in the predictive model for oil price-inflation nexus

Afees Salisu, Kazeem Isah and Idris Ademuyiwa ()
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Idris Ademuyiwa: Centre for International Governance Innovation (CIGI), Waterloo, Canada.

Economics Bulletin, 2017, vol. 37, issue 3, 1797-1804

Abstract: In this paper, we test whether accounting for asymmetries matters in inflation forecasting. Using OECD data, we find that such consideration does little to improve the forecast performance of oil price in the predictive model for inflation. Overall, we find evidence in favour of asymmetries for the in-sample analyses while the symmetric variant performs better for the out-of-sample forecast.

Keywords: Oil price asymmetries; Inflation; Forecast evaluation; OECD (search for similar items in EconPapers)
JEL-codes: E3 Q4 (search for similar items in EconPapers)
Date: 2017-08-31
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Citations: View citations in EconPapers (5)

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