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Evaluating Phillips Curve Based Inflation Forecasts in Europe: A Note
Credit and Capital Markets – Kredit und Kapital, Vol. 46 (2013), Iss. 1 : pp. 79–93
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Carsten Croonenbroeck, Europa-Universität Viadrina, Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Volkswirtschaftslehre, insb. Wirtschaftstheorie (Makroökonomik), Postfach 1786, 15207 Frankfurt (Oder).
Abstract
Evaluating Phillips Curve Based Inflation Forecasts in Europe: A Note
We run out-of-sample forecasts for the inflation rate of 15 euro-zone countries using a NAIRU Phillips curve and a naive reference model. Comparisons show that the naive model returns better forecasts in almost all cases. We provide evidence that the Phillips curves" goodness of fit is rather high. However, forecasting power is comparatively low. (C53, E31, E37)