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Использование моделей machine learning при прогнозировании инфляции // Using machine learning models in inflation forecasting

Author

Listed:
  • Ержан И.С. // Erzhan I.S.

    (National Bank of Kazakhstan)

Abstract

Прогнозирование инфляции является важным аспектом для центральных банков, придерживающихся политики инфляционного таргетирования. В этой связи, данному вопросу уделяется особое внимание, ведь от точности прогнозов зависит качество проводимой денежно-кредитной политики. В данной статье автором рассматривается возможность применения моделей машинного обучения в целях прогнозирования инфляции в Казахстане, а также проводится сравнение с ARIMA (наивной) моделью. В качестве моделей машинного обучения рассматриваются: Random forest, XGBoost, Recurrent neural network.

Suggested Citation

  • Ержан И.С. // Erzhan I.S., 2020. "Использование моделей machine learning при прогнозировании инфляции // Using machine learning models in inflation forecasting," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 1, pages 39-48.
    • Handle: RePEc:aob:journl:y:2020:i:1:p:39-48
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    File URL: https://nationalbank.kz/file/download/56016
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    More about this item

    Keywords

    инфляция; прогноз инфляции; RMSE; модель; данные;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E71 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on the Macro Economy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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