Forecasting Thailand’s Core Inflation

Tao Sun

No 2004/090, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; core inflation; price index; Chow test (search for similar items in EconPapers)
Pages: 28
Date: 2004-05-01
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Citations: View citations in EconPapers (4)

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