Three Attempts at Inflation Forecasting in Pakistan

 
Author/Editor: Bokil, Madhavi ; Schimmelpfennig, Axel
 
Publication Date: May 01, 2005
 
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Summary: This paper presents three empirical approaches to forecasting inflation in Pakistan. The preferred approach is a leading indicators model in which broad money growth and private sector credit growth help forecast inflation. A univariate approach also yields reasonable forecasts, but seems less suited to capturing turning points. A vector autoregressive (VAR) model illustrates how monetary developments can be described by a Phillips-curve type relationship. We deal with potential parameter instability on account of fundamental changes in Pakistan's economic system by restricting our sample to more recent observations. Gregorian and Islamic calendar seasonality are addressed by using 12-month moving averages.
 
Series: Working Paper No. 05/105
Subject(s): Forecasting models | Pakistan | Inflation

Author's Keyword(s): Pakistan | inflation | forecasting | ARIMA | VAR | leading indicators
 
English
Publication Date: May 01, 2005
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA2005105 Pages: 37
Price:
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