The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
Rangan Gupta and
No 15-12, Working Papers from Eastern Mediterranean University, Department of Economics
We compare inflation forecasts of a vector fractionally integrated autoregressive moving average (VARFIMA) model against standard forecasting models. U.S. inflation forecasts improve when controlling for persistence and economic policy uncertainty (EPU). Importantly, the VARFIMA model, comprising of inflation and EPU, outperforms commonly used inflation forecast models.
Keywords: Inflation; long-range dependency; economic policy uncertainty (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 7 pages
New Economics Papers: this item is included in nep-cba, nep-for, nep-ger, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-12.pdf First version, 2014 (application/pdf)
Working Paper: The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model (2014)
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:emu:wpaper:15-12.pdf
Access Statistics for this paper
More papers in Working Papers from Eastern Mediterranean University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Mehmet Balcilar ().