Forecasting inflation in Sweden

Unn Lindholm (), Marcus Mossfeldt () and Pär Stockhammar ()
Additional contact information
Unn Lindholm: National Institute of Economic Research
Marcus Mossfeldt: National Institute of Economic Research
Pär Stockhammar: Sveriges Riksbank

Economia Politica: Journal of Analytical and Institutional Economics, 2020, vol. 37, issue 1, No 3, 39-68

Abstract: Abstract In this paper, we make use of Bayesian VAR (BVAR) models to conduct an out-of-sample forecasting exercise for CPIF inflation, the inflation target variable at the Riksbank in Sweden. The proposed BVAR models generally outperform simple benchmark models, the BVAR model used by the Riksbank as presented in Iversen et al. (Real-time forecasting for monetary policy analysis: the case of Sveriges Riksbank, Working Paper 16/318, Sveriges riksbank, Stockhol, 2016) and professional forecasts made by the National Institute of Economic Research in Sweden. Moreover, the BVAR models proposed in the present paper have better forecasting precision than both survey forecasts and the method suggested by Faust and Wright (in: Elliott, Timmermann (eds) Handbook of forecasting, 2013). The findings in this paper might be of value to analysts, policymakers and forecasters of the inflation in Sweden (and possibly other small open economies alike).

Keywords: Bayesian VAR; Inflation; Out-of-sample forecasting precision (search for similar items in EconPapers)
JEL-codes: C53 E31 E52 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40888-019-00161-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:epolit:v:37:y:2020:i:1:d:10.1007_s40888-019-00161-9

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40888

DOI: 10.1007/s40888-019-00161-9

Access Statistics for this article

Economia Politica: Journal of Analytical and Institutional Economics is currently edited by Alberto Quadrio Curzio

More articles in Economia Politica: Journal of Analytical and Institutional Economics from Springer, Fondazione Edison
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().