Factor Model Forecasting of Inflation in Croatia
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Davor Kunovac: Croatian National Bank, Zagreb
Financial Theory and Practice, 2007, vol. 31, issue 4, 371-393
This paper tests whether information derived from 144 economic variables (represented by only a few constructed factors) can be used for the forecasting of consumer prices in Croatia. The results obtained show that the use of one factor enhances the precision of the benchmark model’s ability to forecast inflation. The methodology used is sufficiently general to be able to be applied directly for the forecasting of other economic variables.
Keywords: factor models; time series analysis; inflation; forecasting (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ipf:finteo:v:31:y:2007:i:4:p:371-393
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