Forecasting Thailand's Core Inflation

 
Author/Editor: Sun, Tao
 
Publication Date: May 01, 2004
 
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Summary: This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the projections derived from the short-term time-series properties of core inflation to its longer-run evolution. This involves combining a short-term model, which attempts to distill the forecasting power of a variety of monthly indicators purely on goodness-of-fit criteria, with an equilibrium-correction model that pins down the convergence of core inflation to its longer-run structural determinants. The result is a promising model for forecasting Thai core inflation over horizons up to 10, 24, and 55 months, based on a root mean-squared error criterion as well as a mean absolute error criterion.
 
Series: Working Paper No. 04/90
Subject(s): Forecasting models | Thailand | Inflation

Author's Keyword(s): Forecasting | Core Inflation
 
English
Publication Date: May 01, 2004
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA0902004 Pages: 28
Price:
US$15.00 (Academic Rate:
US$15.00 )
 
 
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