Inflation forecasting in developing economies using SARMA models the case of Ghana /
Due in part to a weakening link between monetary aggregates and the inflation variable, monetary policy authorities are specifically targeting the price level. This has made it more necessary for inflation forecasting to be considered in the conducting of monetary policy. This paper presents differe...
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| Testületi szerző: | |
| Dokumentumtípus: | Könyv része |
| Megjelent: |
Faculty of Economics and Business Administration Doctoral School in Economics
Szeged
2020
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| Sorozat: | Proceedings of the Central European PhD Workshop on Technological Change and Development
4 |
| Kulcsszavak: | Infláció - előrejelzés |
| Tárgyszavak: | |
| Online Access: | http://acta.bibl.u-szeged.hu/77666 |
| Tartalmi kivonat: | Due in part to a weakening link between monetary aggregates and the inflation variable, monetary policy authorities are specifically targeting the price level. This has made it more necessary for inflation forecasting to be considered in the conducting of monetary policy. This paper presents different approaches to forecasting inflation in developing economies using Seasonal Autoregressive Moving Average (SARMA) models. SARMA models were employed because they capture seasonal components of the inflation variable which other univariate (ARMA) models cannot effectively capture. The analysis showed that the complex approach is good for forecasting inflation in both the short-term (1 year) and the very short-term (2 months). The results further showed that the models can capture policy changes only if they occur in the in-sample period. This feature makes it somewhat suitable for policy authorities who will want to know the direction of the inflation variable after policy decisions have been made, and can help them make future policy decisions. |
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| Terjedelem/Fizikai jellemzők: | 286-302 |
| ISBN: | 978-963-306-741-3 |