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

Frédérique Bec and Annabelle De Gaye

Economic Modelling, 2016, vol. 53, issue C, 75-88

Abstract: This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors for three different sets of recent forecast data: the median of SPF inflation forecasts for the United States and the Central Bank inflation forecasts for France and the United Kingdom. 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 typically 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)
Date: 2016
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:53:y:2016:i:c:p:75-88

DOI: 10.1016/j.econmod.2015.11.008

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