The New Keynesian Phillips Curve and Forecasting Inflation (in Persian)

Ali Taiebnia (), Hossein Amiri () and Fatemeh Ravishi ()
Additional contact information
Ali Taiebnia: Iran
Hossein Amiri: Iran
Fatemeh Ravishi: Iran

The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), 2014, vol. 18, issue 4, 3-26

Abstract: The harmful effects of chronic high inflation in the economy led the governments and country’s monetary authorities seek to reduce or eliminate this phenomenon. Therefore it’s very important to predict how inflation moves providing an appropriate economic model is a crucial factor to forecast inflation, so on. In this regard, in the present research, we attempt to generate a appropriate model for forecasting inflation using New Keynesian Phillips Curve. At first, purely forward-looking New Keynesian Phillips Curve and hybrid New Keynesian Phillips Curve to be estimated by the analysis of pricing models and the discussions of stickiness of wages and prices. This means that, we estimate purely forward-looking New Keynesian Phillips Curve, hybrid New Keynesian Phillips Curve by generalized method of moments and also estimate hybrid New Keynesian Phillips Curve by autoregressive distributed lag method and autoregressive moving average for the period Q - Q . For the evaluation of the performance of the different models over various forecast horizons, finally, we construct series of -step, -step and -step-ahead out-of-sample forecasts over the period . The results show that the hybrid New Keynesian Phillips Curve provides relatively more accurate forecast of inflation in Iran compared to the other models for middle forecast horizon while they are outperformed by the time series model (ARMA( )) only for the short forecast horizon and by ARDL( ) for long forecast horizon.

Keywords: New Keynesian Phillips Curve; Inflation Forecasting; Forecast Evaluation; Generalized Method of Moments; Autoregressive Distributed Lag Method; Autoregressive Moving Average. (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://jpbud.ir/article-1-1114-en.pdf (application/pdf)
http://jpbud.ir/article-1-1114-en.html (text/html)
http://jpbud.ir/article-1-1114-fa.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:auv:jipbud:v:18:y:2014:i:4:p:3-26

Access Statistics for this article

More articles in The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه) from Institute for Management and Planning studies Contact information at EDIRC.
Bibliographic data for series maintained by Nahid Jebeli ( this e-mail address is bad, please contact ).