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Saeed Bayat and Seyed Mahdi Barakchian
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Saeed Bayat: Iran
Seyed Mahdi Barakchian: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2014, vol. 7, issue 19, 103-124

Abstract: The goal of the paper is to evaluate the accuracy of DCC method in forecasting inflation. In the research, 12 sub aggregates of CPI data are applied over the period 1369:1 to 1390:4. Our results show that DCC more accurate than benchmark models (AR(1) and random walk) in all forecast horizons although this more accuracy is not statistically significant. Also, in forecasting inflation of 12 sub aggregates of CPI, the forecast accuracy of communication group is more than others.

JEL-codes: C22 C53 E31 E37 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:7:y:2014:i:19:p:103-124

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