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Afees A. Salisu, Kazeem O. Isah and Idris Ademuyiwa
''Testing for asymmetries in the predictive model for oil price-inflation nexus''
( 2017, Vol. 37 No.3 )
In this paper, we test whether accounting for asymmetries matters in inflation forecasting. Using OECD data, we find that such consideration does little to improve the forecast performance of oil price in the predictive model for inflation. Overall, we find evidence in favour of asymmetries for the in-sample analyses while the symmetric variant performs better for the out-of-sample forecast.
Keywords: Oil price asymmetries, Inflation, Forecast evaluation, OECD
JEL: Q4 - Energy: General
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : Aug 01 2017 Manuscript Accepted : Aug 31 2017

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