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WHICH VARIABLES PREDICT INDONESIA’s INFLATION?

Author

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  • Susan Sunila Sharma

    (Deakin Business School)

Abstract

We use an exhaustive list of Indonesia’s macroeconomic variables in a comparative analysis to determine which predictor variables are most important in forecasting Indonesia’s inflation rate. We use monthly time-series data for 30 macroeconomic variables. Using both in-sample and out-of-sample predictability evaluations, we report consistent evidence of inflation rate predictability using 11 out of 30 macroeconomic variables.

Suggested Citation

  • Susan Sunila Sharma, 2019. "WHICH VARIABLES PREDICT INDONESIA’s INFLATION?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(1), pages 87-102, April.
    • Handle: RePEc:idn:journl:v:22:y:2019:i:1e:p:87-102
    DOI: https://doi.org/10.21098/bemp.v22i1.1038
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    More about this item

    Keywords

    Macroeconomic variables; Inflation; Time-series; Predictability;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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