Forecasting annual inflation in Suriname

Gavin Ooft, Sailesh Bhaghoe and Philip Hans Franses

Journal of International Financial Markets, Institutions and Money, 2021, vol. 73, issue C

Abstract: For many countries, statistical information on macroeconomic variables is not abundant and, hence, creating forecasts for a key variable like inflation can be cumbersome. This paper addresses the creation of current year forecasts from a MIDAS regression for annual inflation rates in Suriname where monthly inflation rates are the explanatory variables, and where the latter are only available for one and a half decade. The constructed model associates with a hybrid New-Keynesian Philips curve (NKPC). Specific focus is given to the forecast accuracy in the high inflation period in 2016–2017. The forecasts became very accurate when the models included data from May onwards. A particular parameter restriction was also useful to improve forecast accuracy.

Keywords: Inflation; New Keynesian Phillips Curve; Rational expectations; MIDAS regression; Forecasting (search for similar items in EconPapers)
JEL-codes: E12 E17 (search for similar items in EconPapers)
Date: 2021
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Working Paper: Forecasting Annual Inflation in Suriname (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000767

DOI: 10.1016/j.intfin.2021.101357

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