RDP 2009-06: Inflation Volatility and Forecast Accuracy Appendix E: Cross-country Estimates of σε

Jamie Hall and Jarkko Jääskelä

October 2009

Table E1: Standard Deviation of the Permanent Component (σε) by Country
1987:Q1 1993:Q1 2000:Q3 2008:Q2
Australia 1.07
(0.33, 2.22)		 0.69
(0.33, 1.45)		 0.51
(0.33, 1.11)		 0.76
(0.33, 2.15)
Austria 0.53
(0.33, 1.09)		 0.43
(0.33, 0.82)		 0.45
(0.33, 0.87)		 0.53
(0.33, 1.20)
Canada 0.80
(0.33, 1.63)		 0.80
(0.33, 1.96)		 0.50
(0.33, 1.09)		 0.53
(0.33, 1.18)
France 1.12
(0.47, 1.96)		 0.51
(0.33, 0.95)		 0.45
(0.33, 0.86)		 0.67
(0.33, 1.65)
Germany 0.84
(0.38, 1.47)		 0.80
(0.33, 1.72)		 0.54
(0.33, 1.24)		 0.56
(0.33, 1.42)
Japan 0.59
(0.33, 1.50)		 0.51
(0.33, 1.09)		 0.45
(0.33, 0.85)		 0.54
(0.33, 1.09)
NZ 3.16
(1.12, 5.51)		 0.88
(0.33, 1.93)		 1.00
(0.33, 2.33)		 0.87
(0.33, 2.28)
Sweden 0.91
(0.33, 2.13)		 1.52
(0.35, 3.89)		 0.82
(0.33, 1.77)		 1.05
(0.33, 3.35)
UK 1.45
(0.53, 2.64)		 0.83
(0.37, 1.52)		 0.45
(0.33, 0.83)		 0.69
(0.33, 1.63)
US 1.15
(0.52, 2.04)		 0.53
(0.33, 0.95)		 0.49
(0.33, 0.96)		 0.64
(0.33, 1.65)
Note: For each date, the table shows the mean estimate of σε, with the 90% confidence interval in brackets.