Short-Term Inflation Projections Model and Its Assessment in Latvia

Andrejs Bessonovs and Olegs Krasnopjorovs

No 2020/01, Working Papers from Latvijas Banka

Abstract: This paper develops a Short-Term Inflation Projections (STIP) model, which captures cointegrated relationships between highly disaggregated consumer prices and their determinants. We document a significant pass-through of domestic labour costs, crude oil and global food commodity prices to consumer prices in Latvia. We also assess the model's forecast accuracy of Latvia's inflation during 2014–2018 and find that the STIP model statistically significantly outperforms a na?ve benchmark model in real time.

Keywords: inflation forecasting; autoregressive distributed lag model; pass-through; oil prices; food commodity prices; labour costs (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 C53 E31 (search for similar items in EconPapers)
Date: 2020-01-29
New Economics Papers: this item is included in nep-cis, nep-ene, nep-for, nep-mac and nep-ore
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Journal Article: Short-term inflation projections model and its assessment in Latvia (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ltv:wpaper:202001

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