Prévisions d’inflation pour la France

François Hild
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François Hild: LMPS - Laboratoire de Mécanique Paris-Saclay - CentraleSupélec - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - ENS Paris Saclay - Ecole Normale Supérieure Paris-Saclay, INSEE - Institut national de la statistique et des études économiques (INSEE)

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Abstract: In this paper, we estimate and analyse a set of equations of French inflation for forecasting purpose at the horizon of three months, six months and one year. A different equation is associated to each horizon. This approach has the advantage of modeling directly the variable of interest at the desired horizon without resorting to assumed forecast paths of the exogeneous variables outside the sampling period : given the history at time t, one forecasts the value of inflation at time t+h. The study of historical properties of those equations with real-time datatsets when possible shows that the forecast errors, for the last four years, are about 0.25 point for the 3-month and the 6-month horizon and about 0.5 point for the 12-month horizon.

Keywords: inflation; short-term forecast; cointegration; prévision de court terme; cointégration (search for similar items in EconPapers)
Date: 2002-10
Note: View the original document on HAL open archive server: https://insee.hal.science/hal-05714564v1
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