French inflation forecasts

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.