Forecasting Thailand's Core Inflation

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Author/Editor: Tao Sun
Release Date: © May, 2004
ISBN : 978-1-45185-142-7
Stock #: WPIEA0902004
English
Stock Status: Available

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Description

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.

Taxonomy

Economic policy , Inflation , Monetary policy




More publications in this series: Working Papers


More publications by: Tao Sun