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Bayesian VAR Models for Forecasting Irish Inflation

Geoff Kenny, Aidan Meyler and Terry Quinn

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we focus on the development of multiple time series models for forecasting Irish Inflation. The Bayesian approach to the estimation of vector autoregressive (VAR) models is employed. This allows the estimated models combine the evidence in the data with any prior information which may also be available. A large selection of inflation indicators are assessed as potential candidates for inclusion in a VAR. The results confirm the significant improvement in forecasting performance which can be obtained by the use of Bayesian techniques. In general, however, forecasts of inflation contain a high degree of uncertainty. The results are also consistent with previous research in the Central Bank of Ireland which stresses a strong role for the exchange rate and foreign prices as a determinant of Irish prices.

Keywords: Bayesian; BVAR; inflation forecasts; Ireland (search for similar items in EconPapers)
JEL-codes: C32 C53 E30 (search for similar items in EconPapers)
Date: 1998-12
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Published in Central Bank and Financial Services Authority of Ireland Technical Paper Series 4/RT/98.1998(1998): pp. 1-37

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Working Paper: Bayesian VAR Models for Forecasting Irish Inflation (1998) Downloads
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