Forecasting Inflation in Sweden

Unn Lindholm (), Marcus Mossfeldt () and Pär Stockhammar ()
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Unn Lindholm: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Marcus Mossfeldt: Ministry of Finance, Postal: 103 33 Stockholm, Sweden
Pär Stockhammar: National Institute of Economic Research, Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden

No 152, Working Papers from National Institute of Economic Research

Abstract: In this paper, we make use of Bayesian VAR (BVAR) models to conduct an out-of-sample forecasting exercise for CPIF inflation, as used as the inflation target by 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. (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 (2013).

Keywords: Bayesian VAR; Inflation; Out-of-sample forecasting precision (search for similar items in EconPapers)
JEL-codes: C53 E31 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2018-11-27
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:nierwp:0152

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