Evaluation of the Optimality of CPI and PPI Forecasts and Comparison of Their Effectiveness

Mehmet Horasanlı and Sezgin Yıldırım
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Mehmet Horasanlı: İş Portföy Yönetimi A.Ş.
Sezgin Yıldırım: İş Portföy Yönetimi A.Ş.

Journal of Finance Letters (Maliye ve Finans Yazıları), 2011, vol. 26, issue 92, 9-29

Abstract: This paper investigates the optimality of the CPI and PPI forecasts of various financial institutions via Mincer Zarnowitz regression. Moreover, the forecasts of the instituons, that are found to be successful for a long horizon are evaluated by using Diebold- Mariano test in order to determine most successful institutions and rank them according to their prediction ability.

Keywords: Mincer-Zarnowitz regression; Diebold-Mariano test; optimal forecast (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:26:y:2011:i:92:p:9-29

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