| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7895
|
| DP7895 Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa? |
| John Muellbauer; Janine Aron
|
| 发表日期 | 2010-06-01
|
| 出版年 | 2010
|
| 语种 | 英语
|
| 摘要 | Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices, versus forecasting the aggregate consumer price index itself. Rich multivariate equilibrium correction models employ general and sectoral information for ten sub-components, taking account of structural breaks and institutional changes. Model selection is over 1979-2003, with pseudo out-of-sample forecasts, four-quarters-ahead, generated to 2007. Aggregating the weighted forecasts of the sub-components does outperform the aggregate CPI forecasts, and also offers substantial gains over forecasting using benchmark naïve models. The analysis also contributes an improved understanding of sectoral inflationary pressures. This forecasting method should be more robust to the regular reweighting of the CPI index. |
| 主题 | International Macroeconomics
|
| 关键词 | Sectoral inflation
Cpi sub-components
Error correction models
Evaluating forecasts
Model selection
Multivariate time series
Disaggregation
|
| URL | https://cepr.org/publications/dp7895
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536731
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推荐引用方式
GB/T 7714 |
John Muellbauer,Janine Aron. DP7895 Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?. 2010.
|
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