Title |
: |
Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis |
Number |
: |
12/09 |
Author(s) |
: |
Kurmaş Akdoğan, Selen Başer, Meltem Gülenay Chadwick, Dilara Ertuğ, Timur Hülagü, Sevim Kösem, Fethi Öğünç, Mustafa Utku Özmen, Necati Tekatlı |
Language |
: |
English |
Date |
: |
February 2012 |
Abstract |
: |
In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite of VAR and Bayesian VAR models and dynamic factor models. Our findings suggest that the models which incorporate more economic information outperform the benchmark random walk, and the relative performance of forecasts are on average 30 percent better for the first two quarters ahead. We further combine our forecasts by means of several weighting schemes. Results reveal that the forecast combination leads to a reduction in forecast error compared to most of the models, although some of the individual models perform alike in certain horizons. |
Keywords |
: |
Inflation, Short-term forecasting, Forecast combination |
JEL Codes |
: |
C52; C53; E37 |