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Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors

Rebeca Albacete, Eva Senra and Antoni Espasa

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the HICP by countries. Both disaggregations are of interest because in each one, the component prices are not fully cointegrated, having more than one common factor in their trends. The paper shows that the breakdown by group of markets improves the European inflation forecasts and constitutes a framework in which general and specific indicators can be introduced for further improvements

New Economics Papers: this item is included in nep-eec and nep-mon
Date: 2001-06
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