How Useful is Core Inflation for Forecasting Headline Inflation?

Colin Bermingham
Additional contact information
Colin Bermingham: Central Bank and Financial Services Authority of Ireland, Dublin

The Economic and Social Review, 2007, vol. 38, issue 3, 355–377

Abstract: The paper constructs various core inflation measures. These include various trimmed means using disaggregated data and a structural VAR estimate of core inflation for Ireland. The ability of these core inflation measures to forecast future headline inflation is compared using a regression model. An ARIMA model fitted to the headline inflation rate is used as the benchmark forecast. The forecasts from the ARIMA model are most accurate over short time horizons for monthly data. The structural VAR based estimate is most accurate over longer time horizons. For quarterly data, the structural VAR provides the optimal forecast over all time horizons.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.esr.ie/Vol38_3/04%20Vol%2038%20Bermingham.pdf First version, 2007 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eso:journl:v:38:y:2007:i:3:p:355-377

Access Statistics for this article

More articles in The Economic and Social Review from Economic and Social Studies
Bibliographic data for series maintained by Aedin Doris ().