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Forecasting inflation for transition countries: How accurate are the EBRD forecasts?

Author

Listed:
  • Libor Krkoska

    (European Bank of Reconstruction and Development)

  • Utku Teksoz

    (European Bank of Reconstruction and Development)

Abstract

This paper analyses the statistical properties of annual inflation forecasts prepared by the EBRD for 25 transition countries between 1994 and 2005. The empirical results show that EBRD forecasts are mostly unbiased. Late within-year forecasts are also found to be efficient. Forecast accuracy is shown to be related to four main factors: timely availability of monthly data, decline in price volatility over time, general progress in transition reforms, and exchange rate developments. The late within-year forecasts of the EBRD were found to be on average better by 2.5 percentage points compared with other institutions but no better than forecasts based on a formal ARIMA inflation model.

Suggested Citation

  • Libor Krkoska & Utku Teksoz, 2006. "Forecasting inflation for transition countries: How accurate are the EBRD forecasts?," Working Papers 98, European Bank for Reconstruction and Development, Office of the Chief Economist.
    • Handle: RePEc:ebd:wpaper:98
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    More about this item

    Keywords

    forecasting; inflation; bias; transition; EBRD;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • P2 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies

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