OeNB Bulletin Q4/24

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• OeNB Bulletin Q4/24 (PDF, 7,6 MB) Jänner 2025

Studien und Analysen

• The instability of leading indicators in forecasting Austrian inflation: lessons from the COVID-19 pandemic and the energy crisis (PDF, 5,7 MB) Fritzer. This analysis tests 25 macroeconomic indicators for their ability to predict Austrian HICP inflation and evaluates three methods of combining these indicators into a composite forecast. The key findings are:
  First, for the evaluation period from early 2007 to the fourth quarter of 2023, competitors’ import prices, oil prices and domestic output prices for consumer goods are found to be the best individual leading indicators across various forecasting horizons (one, four and eight quarters ahead).
  Second, indicator performance varies over time. The forecasting performance of the output gap, for instance, declined considerably during the COVID-19 pandemic and the energy crisis, while that of other indicators like oil prices and competitors’ import prices improved.
  Third, for the period before 2020, composite indicators produced better forecasts than individual indicators over the entire forecasting horizon. This no longer holds when we include the pandemic and the energy crisis in the evaluation period. Then, two of the top three individual indicators, namely competitors’ import prices and domestic output prices for consumer goods, outperform combined indicators over the medium- and longer-term horizon (four and eight quarters ahead).
  Fourth, both individual and composite indicators outperformed autoregressive forecasts, especially in medium- and long-term predictions. en macroeconomic forecasting, inflation, leading indicators, forecast combination C53, E37, C50 03.12.2024, 00:00:00

• Recent inflation developments in Austria – an analysis based on different decomposition frameworks (PDF, 6,5 MB) Reiss, Schneider. In this paper we show that decomposing national accounts deflators such as the GDP deflator as a proxy for consumer price inflation can lead to misleading results. We compare the decomposition of the value-added deflator, the GDP deflator and the total supply deflator with a HICP decomposition proposed by Schneider (2024). We discuss the differences between these concepts in detail. We find that imports and wages account for the bulk of the differences. Most importantly, the surge in import prices in late 2021 pushed up HICP inflation but had no direct impact on the GDP deflator. Furthermore, we find that wage developments have a much higher impact on the GDP deflator than the HICP. In both 2023 and 2024, the contribution of wages to the GDP deflator was higher than for the HICP even though the latter index increased stronger in both years. We also look at the role of profits. While they were soaring in 2022 and contributed somewhat to inflation, they cratered in 2023 and particularly in 2024. en inflation, profit share E31, D33 13.01.2025, 00:00:00