Forecasting Inflation in China
AbstractThis paper forecasts inflation in China over a 12-month horizon. The analysis runs 15 alternative models and finds that only those considering many predictors via a principal component display a better relative forecasting performance than the univariate benchmark.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 2/2008.
Length: 17 pages
Date of creation: 21 Apr 2008
Date of revision:
Contact details of provider:
Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
Web page: http://www.suomenpankki.fi/bofit_en/
More information through EDIRC
inflation forecasting; data-rich environment; principal components; China;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-29 (All new papers)
- NEP-CBA-2008-04-29 (Central Banking)
- NEP-CNA-2008-04-29 (China)
- NEP-ECM-2008-04-29 (Econometrics)
- NEP-FOR-2008-04-29 (Forecasting)
- NEP-MAC-2008-04-29 (Macroeconomics)
- NEP-MON-2008-04-29 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, Elsevier.
- Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc.
- Marvin Goodfriend & Eswar Prasad, 2007.
"A Framework for Independent Monetary Policy in China,"
CESifo Economic Studies,
CESifo, vol. 53(1), pages 2-41, March.
- Marvin Goodfriend & Eswar Prasad, 2006. "A Framework for Independent Monetary Policy in China," IMF Working Papers 06/111, International Monetary Fund.
- David F. Hendry & Hans-Martin Krolzig, 2005.
"The Properties of Automatic "GETS" Modelling,"
Royal Economic Society, vol. 115(502), pages C32-C61, 03.
- David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
- David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Series Working Papers 2003-W14, University of Oxford, Department of Economics.
- Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.
- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003.
"Macroeconomic forecasting in the Euro area: Country specific versus area-wide information,"
European Economic Review,
Elsevier, vol. 47(1), pages 1-18, February.
- Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Ben S. Bernanke & Jean Boivin, 2001.
"Monetary Policy in a Data-Rich Environment,"
NBER Working Papers
8379, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2006.
"Why Has U.S. Inflation Become Harder to Forecast?,"
NBER Working Papers
12324, National Bureau of Economic Research, Inc.
- Stefan Gerlach & Janet Kong, 2005. "Money and Inflation in China," Working Papers 0504, Hong Kong Monetary Authority.
- Andrew Atkeson & Lee E. Ohanian., 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
- Kaaresvirta, Juuso & Mehrotra, Aaron, 2008.
"Business surveys and inflation forecasting in China,"
BOFIT Discussion Papers
22/2008, Bank of Finland, Institute for Economies in Transition.
- Juuso Kaaresvirta & Aaron Mehrotra, 2009. "Business surveys and inflation forecasting in China," Economic Change and Restructuring, Springer, vol. 42(4), pages 263-271, November.
- Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
- Mehrotra, Aaron & Koivu, Tuuli & Nuutilainen, Riikka, 2008. "McCallum rule and Chinese monetary policy," BOFIT Discussion Papers 15/2008, Bank of Finland, Institute for Economies in Transition.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Päivi Määttä).
If references are entirely missing, you can add them using this form.