Forecasting UK consumer price inflation using inflation forecasts

The inflation rate is a key economic indicator for which forecasters are constantly seeking to improve the accuracy of predictions, so as to enable better macroeconomic decision making. Presented in this paper is a novel approach which seeks to exploit auxiliary information contained within inflation forecasts for developing a new and improved forecast for inflation by modeling with Multivariate Singular Spectrum Analysis (MSSA). Unlike other forecast combination techniques, the key feature of the proposed approach is its use of forecasts, i.e. data into the future, within the modeling process and extracting auxiliary information for generating a new and improved forecast. We consider real data on consumer price inflation in UK, obtained via the Office for National Statistics. A variety of parametric and nonparametric models are then used to generate univariate forecasts of inflation. Thereafter, the best univariate forecast is considered as auxiliary information within the MSSA model alongside historical data for UK consumer price inflation, and a new multivariate forecast is generated. We find compelling evidence which shows the benefits of the proposed approach at generating more accurate medium to long term inflation forecasts for UK in relation to the competing models. Finally, through the discussion, we also consider Google Trends forecasts for inflation within the proposed framework.     

Comparative accuracy of forecasts of inflation: a Canadian study

An inaccurate forecast of inflation is costlier to economic agents when the inflation rate is high and volatile. In this situation, the use of more sophisticated and information-oriented forecasting models become economically efficient. We test this hypothesis by analysing the forecasting accuracy of vector auto-regressive (VAR), auto-regressive integrated moving average (ARIMA) and static expectation models. We use Canadian data and divide the post-sample forecasting period into four sub-periods, based on high/low and volatile/stable inflation. Prediction errors are compared for both short-term and long-term forecasts. Finally, the paper proposes a portfolio approach for obtaining a more accurate forecast of inflation.     

Comparing linear and nonlinear forecasts for stock returns

We compare the out-of-sample performance of monthly returns forecasts for two indices, namely the Dow Jones (DJ) and the Financial Times (FT) indices. A linear and a nonlinear artificial neural network (ANN) model are used to generate the out-of-sample competing forecasts for monthly returns. Stationary transformations of dividends and trading volume are considered as fundamental explanatory variables in the linear model and the input variables in the ANN model. The comparison of out-of-sample forecasts is done on the basis of forecast accuracy, using the Diebold and Mariano test [J. Bus. Econ. Stat. 13 (1995) 253.], and forecast encompassing, using the Clements and Hendry approach [J. Forecast. 5 (1998) 559.]. The results suggest that the out-of-sample ANN forecasts are significantly more accurate than linear forecasts of both indices. Furthermore, the ANN forecasts can explain the forecast errors of the linear model for both indices, while the linear model cannot explain the forecast errors of the ANN in either of the two indices. Overall, the results indicate that the inclusion of nonlinear terms in the relation between stock returns and fundamentals is important in out-of-sample forecasting. This conclusion is consistent with the view that the relation between stock returns and fundamentals is nonlinear.     

Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal’s panel of economists

We analyze economists’ forecasts of interest rates and exchange rates from the Wall Street Journal. We find that a majority of economists produced unbiased forecasts but that none predicted directions of changes more accurately than chance. Most economists’ forecast accuracy is statistically indistinguishable from a random walk model in forecasting the Treasury bill rate, but many are significantly worse in forecasting the Treasury bond rate and the exchange rate. We also find systematic forecast heterogeneity, support for strategic models predicting the industry employing the economist matters, and evidence that economists deviate less from the consensus as they age.     

The Growth Crisis of Germany: A Blueprint of the Developed Economies

Germany has realized tremendous growth rates in the aftermath of the Second World War. Since the early 1970s, growth rates declined and settled down at a more or less constant rate of 2% per year, only to experience a renewed negative trend around the early 2000s. Estimating GMM growth models in a panel of 187 countries between 1970 and 2010, we illustrate that large parts of historical welfare increases have emerged due to conditional convergence, human capital accumulation, and innovation activity. Whereas conditional convergence was the main driver behind the extraordinary postwar growth rates in Germany, human capital accumulation in Germany currently lags behind the average level of most developed countries. While this may explain the moderate position of Germany in the group of the 25 richest countries, the developed countries on their part are experiencing a period of below-average GDP growth. In nearly all advanced economies, growth reveals a downward trend since the turn of the millennium. We argue that this decline must be traced back to a general lack of radically new ideas in the world economy. The explanation of the German growth crisis may thus be considered a blueprint of the situation in developed economies.     

On the accuracy of Blue Chip forecasts of interest rates and country risk premiums

We examine the accuracy of Blue Chip forecasts of short- and long-term interest rates and country risk premiums for the Eurozone and six other industrial countries for 1999–2008. In so doing, we utilize comparable random walk forecasts as benchmarks. Consistent with the efficient market hypothesis, the long-term interest rate forecasts fail to outperform the random walk. Our findings on the accuracy of short-term interest rate forecasts are, however, mixed. Further results reveal that Blue Chip is more (less) accurate in predicting country risk premiums associated with short-term (long-term) interest rates. Such evidence is reasonable since the short-term country risk premiums contain only the perceived default risk, while the long-term risk premiums, in addition, can contain the perceived inflation and exchange rate differentials.     

Rational expectations and fixed-event forecasts: An application to UK inflation

This paper tests a version of the rational expectations hypothesis using ‘fixed-event’ inflation forecasts for the UK. Fixed-event forecasts consist of a panel of forecasts for a set of outturns of a series at varying horizons prior to each outturn. The forecasts are the prediction of fund managers surveyed by Merrill Lynch. Fixed-event forecasts allow tests for whether expectations are unbiased in a similar fashion to the rest of the literature. But they also permit the conduct of particular tests of forecast efficiency - whether the forecasts make best use of available information - that are not possible with rolling-event data. We find evidence of a positive bias in inflation expectations. Evidence for inefficiency is much less clear cut.First version received: June 2002/ Final version received: November 2003We would like two anonymous referees and an editor for comments that have significantly improved the paper. The views expressed in this paper are those of the authors and do not necessarily reflect those of the Bank of England.     

Decomposing household,professional and market forecasts on inflation: a dynamic factor model analysis

A dynamic factor model with stochastic volatility is used to investigate the relationships between three alternative measures of inflation expectations. The results show evidence of both a common time-varying trend and a common transitory component between inflation and short-term inflation expectations from households, professionals and markets. While the common time-varying trend has declined in both level and volatility since the early 1980s, it was found that consumer expectations are disproportionately influenced by the visibility of prices of select few goods. Roughly speaking, a 1% point increase in food and energy prices leads to about 1/3% point increase in consumer forecasts of inflation. In terms of policymaking, this finding suggests that stability in highly visible prices can moderate inflation in a meaningful way.     

Interest rate assumptions and predictive accuracy of central bank forecasts

The interest rate assumptions for macroeconomic forecasts differ among central banks. Common approaches are given by the assumptions that interest rates remain constant over the forecast horizon, follow a path as expected by market participants or follow a path as expected by the central bank itself. Theoretical papers such as Svensson (The instrument-rate projection under inflation targeting: the Norwegian example. Centre for European Policy Studies Working Paper (127), 2006) and Galí (J Monet Econ 58:537–550, 2011) suggest an accuracy ranking for these forecasts, from employing central bank expectations yielding the highest forecast accuracy to conditioning on constant interest rates yielding the lowest. Yet, when investigating the predictive accuracy of the Bank of England’s and the Banco Central do Brasil’s forecasts for interest rates, inflation and output growth, we hardly find any significant differences between forecasts based on the different interest rate paths. Our results suggest that the choice of the interest rate assumption appears to be of minor relevance empirically.     

德国依靠科技创新率先走出危机

2010年,德国经济实现了快速复苏,并率先走出危机,成为带动欧洲经济增长的火车头。“加大创新力度、调整产业结构、保持国际竞争优势”的政策取向是其关键内因。德国研究与创新专家委员会在报告中表示：2010年德国国家创新体系在危机中表现出色。本文对2010年德国科学技术发展总体情况进行了介绍。     

德国光学技术发展的经验与启示

德国政府新近公布了《德国高科技战略2020》,重点关注八大领域,这些领域中的关键技术为德国经济的快速稳固发展提供了不竭动力。本文选取其中的光学技术领域为例,描述德国政府重点资助本领域中10个研究项目,以及支撑此研究计划独特的资助模式。还分析其取得成功的主要原因。德国的《高科技战略：光学计划》是一项联合集成政府、经济界、科研机构、高等院校和各类型中小企业力量的中长期科技战略规划。     

欧盟和德国碳捕获与封存技术发展现状及展望

欧盟和德国认为,碳捕获与封存技术是一种潜在的、可供选择的二氧化碳减排方案,并为其制定了雄心勃勃的发展战略规划。文章对欧盟特别是德国在碳捕获与封存技术的研发进展、政策机制和管理立法等方面的做法和案例进行了调研,并对其面临的主要问题及未来发展进行了展望。     

Monetary transmission in Germany: Lessons for the Euro area

This study analyses the transmission of monetary policy in Germany for the EMS period in the framework of a structural vector error correction model (S-VECM).Three stable cointegration relationships are found: a money demand relation, an interest rate spread and a stationary real interest rate. Based on both contemporaneous and long-run restrictions, five structural shocks to the economy are identified. In contrast to analyses for the euro area, we find that output and inflation are not independent in the long run for Germany. In accordance with results previously found for Europe, we do not find strong support for monetary targeting for Germany. Our analysis indicates that uncertainties remain concerning the controllability of money and its usefulness as a leading indicator with respect to inflation. Stability of the money demand relationship does not seem to be problematic.Jel classification:C32, C52, E41, E43, E52We would like to thank Jörg Breitung, Bertrand Candelon, Peter van Els, Carsten Folkertsma, Helmut Lütkepohl, Dieter Nautz, Hans-Eggert Reimers, Nikolaus Siegfried and Jürgen Wolters, two anonymous referees as well as participants of the 8th World Congress of the Econometric Society in Seattle and the Annual Meeting of the Verein für Sozialpolitik in Berlin for helpful comments. The views expressed in this paper do not necessarily reflect those of the European Central Bank or De Nederlandsche Bank.Both authors were working at the research department of De Nederlandsche Bank at the time of writing.First revision received: April 2002/Final revision received: January 2003     

德国生物技术产业发展现状及其研发创新

生物技术是当前最具潜力和最富活力的科技领域之一。德国联邦政府认为,从传统化石能源时代向生物经济时代过渡是人类社会发展的必然趋势．未来生命科学和生物技术将更广泛地应用于农业、林业、渔业、畜牧业、食品、化工、制药、能源、环保和商贸服务等众多产业领域。知识生物经济将提高国家竞争力。2010年11月,德国联邦政府发布了《生物经济2030：国家研究战略》。包括德国在内的世界各国政府都高度重视推动本国生物技术研发创新和产业化发展。本文对德国生物技术产业发展最新情况进行了调研,并对其研发创新及其产业化发展的政策机制进行了总结分析。     

德国电子政府发展现状和展望

本文介绍了德国电子政府的发展现状和展望,以及德国联邦政府电子政府2．0计划的实施、项目和措施。联邦政府在线2005的成功部署有助于提供行政服务的新渠道,加快事务处理速度,增加透明度,使国家能够为个人和企业提供更加高效贴心的公共服务。未来德国电子政府战略将侧重提升服务水平和协作水平、使用统一标准、充分发挥创新潜力、优化信息管理等方面。     

Growth cycles and inflation in a model of the class struggle

The problems of price and wage inflation and unemployment are discussed here in a context of a model of class struggle developed by R. M. Goodwin. The basic Goodwin model which is an analog of the Volterra-Lotka preypredator model is extended to include actual and anticipated price inflation and excess capacity. Cyclical behavior of labor's share in national income and the employment ratio is studied around a Harrodian steady state. It is found that the presence of money illusion with respect to the actual rate of inflation in the wage bargaining equation is a stabilizing influence. With respect to anticipated inflation, local stability of equilibrium is no longer assured. The implications of this for Phillips curve analysis are also derived.     

Modelling the clinical and economic implications of galantamine in the treatment of mild-to-moderate Alzheimer's disease in Germany

Abstract

Objective:

This analysis was to assess the long-term clinical and economic implications of galantamine in the treatment of mild-to-moderate Alzheimer's disease (AD) in Germany.

Methods:

An economic model was developed using discrete event simulation to predict the course of AD through changes in cognition, behavioural disturbance, and function over time. It compares the costs and benefits of galantamine versus no-drug treatment and ginkgo biloba. Clinical data were mainly derived from analyses of pooled data from clinical trials. Epidemiological and cost data were obtained from literature and public data sources. Costs (2009 euros) from the perspective of the German Statutory Health Insurance were used.

Results:

The mean survival time for the model population is about 3.44 years over 10 years of simulation. Galantamine delays average time to severe stage of the disease by 3.57 and 3.36 months, compared to no-drug treatment and ginkgo biloba, respectively. Galantamine reduces time spent in an institution by 2.34 and 2.21 months versus no-drug treatment and ginkgo biloba, respectively. The use of galantamine is projected to yield net savings of €3,978 and €3,972 per patient versus no-drug and ginkgo biloba treatments. These results, however, may be limited by lack of long-term comparative efficacy data as well as data on long-term care costs based on multiple outcome measures.

Conclusion:

Compared to no-drug treatment and ginkgo biloba, galantamine therapy provides clinical benefits and achieves savings in healthcare costs associated with care for patients with mild-to-moderate AD in Germany.     

The labour market effects of offshoring of small and medium-sized firms: micro-level evidence for Germany

Small and medium-sized enterprises (SMEs) are the economic powerhouse of many OECD countries (perhaps most prominently so in Germany). Yet, the labour market dynamics caused by the internationalization of their production activities are largely unexplored. We use survey-based micro-level data for Germany to explore the employment effects of offshoring of SMEs, relying on propensity score matching and difference-in-difference analysis. We find evidence for a downsizing effect in the immediate aftermath of offshoring whereas, initially, job creation is not spurred. In the medium run, we find evidence for a slowing down of employment dynamics of offshoring firms (that tend to belong to the better performing SMEs in Germany) relative to non-offshoring firms. Even though our results do not point to a net employment loss in the medium run, our evidence suggests that offshoring may lead to less jobs being created. This conclusion cannot be confirmed for large companies.     

德国发布《生物炼制路线阁》人力推进生物经济发展

在未来的生物经济时代,生物炼制是从生物质原材料到最终产品实现的生产链条上关键的一环.为进一步促进生物炼制技术成熟化和市场化,2012?年,德国联邦政府发布了《生物炼制路线图》,该路线图明确界定了生物炼制技术发展需求、政策背景、内涵体系和技术领域,分析了德国生物炼制技术发展现状、优势劣势和风险挑战,并规划了德国生物炼制技术未来行动领域.