Forecasting Thailand’s Core Inflation

Author/Editor:

Tao Sun

Publication Date:

May 1, 2004

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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. 2004/090

Subject:

Consumer price indexes Economic forecasting Import price indexes Inflation Price indexes

English

Publication Date:

May 1, 2004

ISBN/ISSN:

9781451851427/1018-5941

Stock No:

WPIEA0902004

Pages:

28

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