Forecasting Inflation in Emerging Markets by Using the Phillips Curve and Alternative Time Series Models
A. Özlem Önder
Emerging Markets Finance and Trade, 2004, vol. 40, issue 2, 71-82
The aim of this paper is to investigate the performance of the Phillips curve to forecast inflation in a high inflation emerging market country by taking Turkey as a case. For this purpose, we compare the forecasting performance of the Phillips curve with alternative time series models, namely, the univariate ARIMA model, vector autoregression and vector error correction model, and a naive no-change model. The data pertains to the quarterly inflation rate in Turkey for the 1987-2001 period. The results show that inflation forecasts obtained from the Phillips curve are found to be more accurate than forecasts based on other macroeconomic variables. The remaining models outperform the "no-change model" in most of the cases.
Keywords: forecasting; inflation; Phillips curve (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:40:y:2004:i:2:p:71-82
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().