How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts
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- 作者：Fré ; dé ; rique Beca ; bec@ensae.fr" class="auth_mail" title="E-mail the corresponding author ; Annabelle De Gayeb
- 关键词：Forecast errors ; Inflation rate ; Oil price ; Threshold model
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：February 2016
- 年：2016
- 卷：53
- 期：Complete
- 页码：75-88
- 全文大小：5647 K
文摘
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This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors.
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Recent forecasts errors from Banque de France, Bank of England and the median of SPF for the US are used.
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The results point to a significant contribution of oil price forecast errors to the explanation of inflation forecast errors.
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The pass-through of oil price errors to inflation errors is multiplied by around 2 when the oil price volatility is large.