EconPapers    
Economics at your fingertips  
 

Trend inflation estimates for Thailand from disaggregated data

Pym Manopimoke and Vorada Limjaroenrat ()

Economic Modelling, 2017, vol. 65, issue C, 75-94

Abstract: This paper constructs a new trend inflation measure for Thailand based on the multivariate unobserved components model with stochastic volatility and outlier adjustments (MUCSVO) of Stock and Watson (2016). Similar to core inflation, the MUCSVO produces an estimate of trend inflation utilizing information in disaggregated data, but also allows for time-varying weights that depend on the volatility, persistence and comovement of the underlying sectoral inflation series. Based on the empirical results, the majority of sectoral weights show significant time-variation in contrast to their relatively stable expenditure shares. Volatile food and energy sectors that are typically excluded from core inflation measures also turn out to help explain approximately 10 percent of MUCSVO trend inflation rate movements. Compared against other benchmark trend inflation measures, we show that the MUCSVO delivers trend estimates that are smoother, more precise, and are able to forecast average inflation over the 1–3 year horizon more accurately both in-sample and out-of-sample, especially since the year 2000.

Keywords: Disaggregated prices; Inflation; Outlier adjustment; Stochastic volatility; Time-varying parameters; Trend-cycle decomposition; Unobserved components. (search for similar items in EconPapers)
JEL-codes: C33 E31 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999316309178
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Trend Inflation Estimates for Thailand from Disaggregated Data (2016) Downloads
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:eee:ecmode:v:65:y:2017:i:c:p:75-94

DOI: 10.1016/j.econmod.2017.05.009

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-10-11
Handle: RePEc:eee:ecmode:v:65:y:2017:i:c:p:75-94