362
Views
1
CrossRef citations to date
0
Altmetric
Articles

Forecasting inflation in a small open developing economy

, , &

References

  • Adolfson, M., M. Andersson, J. Linde, M. Villani, and A. Vredin. 2007. “Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks.” International Journal of Central Banking 3: 111–1444.
  • Alvarez, L., F. Ballabriga, and J. Jareno. 1998. “A BVAR Model for the Spanish Economy.” In Monetary Policy and Inflation in Spain, Chapter 11, edited by J. L. Malo de Molina, J. Viñals, and F. Gutiérrez. New York: St. Martins Press.
  • Artis, M., and W. Zhang. 1990. “BVAR Forecasts for the G-7.” International Journal of Forecasting 6: 349–362.
  • Bates, J. M., and C. W. J. Granger. 1969. “The Combination of Forecasts.” Operations Research Quarterly 20: 451–468.
  • Bernanke, B. S., and M. Woodford 1997. “Inflation Forecasts and Monetary Policy” (NBER Working Papers, No 6157).
  • Biswas, D., S. Singh, and A. Sinha. 2010. “Forecasting Inflation and IIP Growth: Bayesian Vector Autoregressive Model.” Reserve Bank of India Occasional Papers 31 (2): 31–48.
  • Bogdanski, J., A. Tombini, and S. Werlang. 2000. “Implementing Inflation Targeting in Brazil” (Banco Central do Brasil Working Papers, No. 1).
  • Burgess, S., E. F. Corugedo, C. Groth, R. Harrison, F. Monti, K. Theodoridis, and M. Waldron. 2013. “The Bank of England’s Forecasting Platform: COMPASS, MAPS, EASE and the Suite of Models” (Bank of England Working Papers, No. 471).
  • Christoffel, K. P., G. Coenen, and A. Warne. 2010. “Forecasting with DSGE Models” (European Central Bank Working Papers, No 1185).
  • Clemen, R. T. 1989. “Combining Forecasts: A Review and Annotated Bibliography.” International Journal of Forecasting 5: 559–581.
  • Diebold, F. X., and R. S. Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Business & Economic Statistics 13 (3): 253–263. doi:10.1080/07350015.1995.10524599.
  • Doan, T., R. B. Litterman, and C. A. Sims. 1984. “Forecasting and Conditional Projection Using Realistic Prior Distributions.” Econometric Reviews 3: 1–100.
  • Domit, S., F. Monti, and A. Sokol. 2016. “A Bayesian VAR Benchmark for COMPASS” “Bank of England Staff Working Papers, No 583).
  • Dua, P., and S. Ray. 1995. “A BVAR Model for the Connecticut Economy.” Journal of Forecasting 14: 167–180.
  • Engle, R. F., and B. S. Yoo. 1987. “Forecasting and Testing in Co-Integrated Systems.” Journal of Econometrics 35: 143–159.
  • Espasa, A., E. Senra, and R. Albacete. 2002. “Forecasting Inflation in the European Monetary Union: A Disaggregated Approach by Countries and by Sectors.” European Journal of Finance 8: 402–421.
  • Felix, R. M., and L.C. Nunes. 2003. Forecasting Euro Area Aggregates with Bayesian VAR and VECM Models. Research Department, Bank of Portugal, WP 4-03.
  • Giannone, D., M. Lenza, D. Monferatou, and L. Onorante. 2014. “Short-Term Inflation Projections: A Bayesian Vector Autoregressive Approach.” International Journal of Forecasting 30: 635–664.
  • Granger, C. W. J. 1986. “Developments in the Study of Cointegrated Economic Variables.” Oxford Bulletin of Economics and Statistics 48: 213–228.
  • Gupta, R., and M. M. Sichei. 2006. “A BVAR Model for the South African Economy.” South African Journal of Economics 74: 391–409.
  • Harvey, D. I., S. J. Leybourne, and P. Newbold. 1998. “Tests for Forecast Encompassing.” Journal of Business & Economic Statistics 16 (2): 254–259.
  • Holden, K., and D. A. Peel. 1986. “An Empirical Investigation of Combination of Economic Forecasts.” Journal of Forecasting 5: 229–242.
  • Holden, K., and D. A. Peel. 1989. “Unbiasedness, Efficiency and the Combination of Economic Forecasts.” Journal of Forecasting 8 (3): 175–188. doi:10.1002/for.3980080304.
  • Hubrich, K. 2005. “Forecasting Euro Area Inflation: Does Aggregating Forecasts by HICP Component Improve Forecast Accuracy?” International Journal of Forecasting 21: 19–136.
  • Kenny, G., A. Meyler, and T. Quinn. 1998. “Bayesian VAR Models for Forecasting Irish Inflation” (MPRA Papers, December).
  • Koop, G. M. 2013. “Forecasting with Medium and Large Bayesian VARs.” Journal of Applied Econometrics 28: 177–203.
  • Krolzig, H. M. 2001. “General-to-Specific Reductions in Vector Autoregressive Processes.” In Econometric Studies-A Festschrift in Honour of Joachim Frohn, edited by R. Friedmann, L. Knüppel, and H. Lütkepohl, 129–157. Munster: LIT Verlag.
  • Lesage, J. P. 1990. “A Comparison of the Forecasting Ability of ECM and VAR Models.” Review of Economics and Statistics 72: 664–671.
  • Litterman, R. B. 1981. “A Bayesian Procedure for Forecasting with Vector Autoregressions, Federal Reserve Bank of Minneapolis” (Working Paper).
  • Litterman, R. B. 1986. “Forecasting with Bayesian Vector Autoregressions - Five Years of Experience.” Journal of Business and Economic Statistics 4: 25–38.
  • LLosa, G., V. Tuesta, and M. Vega. 2006. “A BVAR Forecasting Model For Peruvian Inflation.” Money Affairs 24: 117–141.
  • Lutkepohl, H. 1993. Introduction to Multiple Time Series Analysis. second ed. New York: Springer-Verlag.
  • Madhou, A., T. Sewak, I. Moosa, and V. Ramiah. 2017. “GDP Nowcasting: Application and Constraints in a Small Open Developing Economy.” Applied Economics 49: 3880–3890.
  • Marcellino, M. 2004. “Forecast Pooling for European Macroeconomic Variables.” Oxford Bulletin of Economic and Statistics 66: 91–112.
  • McNees, S. 1986. “The Accuracy of Two Forecasting Techniques: Some Evidence and an Interpretation” (New England Economic Review, March 20–31).
  • Nino, N. R. 2011. BVARs Forecasting Colombian Inflation, 31st Symposium of Forecasters, 26–29. Prague: Czech Republic.
  • Pesaran, M., and A. Timmermann. 1992. “A Simple Non Parametric Test of Predictive Performance.” Journal of Business and Economic Statistics 10: 461–465. doi:10.1080/07350015.1992.10509922.
  • Sims, C. A. 1980. “Macroeconomics and Reality.” Econometrica 48: 1–48.
  • Stock, J. H., and M. W. Watson. 1999. “A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series.” In Cointegration, Causality and Forecasting: Festschrift in Honor of Clive Granger, edited by R. F. Engle and H. White, 1–44. Oxford: Oxford University Press.
  • Stock, J. H., and M. W. Watson. 2004. “Combination Forecasts of Output Growth in a Seven-Country Data Set.” Journal of Forecasting 23: 405–430.
  • Svensson, L. S. 1997. “Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets.” European Economic Review 41: 1111–1146.
  • Webb, R. H. 1995. “Forecast of Inflation from VAR Models.” Journal of Forecasting 14: 268–285.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.