Three Attempts at Inflation Forecasting in Pakistan
AbstractThis paper presents three empirical approaches to forecasting inflation in Pakistan. The preferred approach is a leading indicators model in which broad money growth and private sector credit growth help forecast inflation. A univariate approach also yields reasonable forecasts, but seems less suited to capturing turning points. A vector autoregressive (VAR) model illustrates how monetary developments can be described by a Phillips-curve type relationship. We deal with potential parameter instability on account of fundamental changes in Pakistan's economic system by restricting our sample to more recent observations. Gregorian and Islamic calendar seasonality are addressed by using 12-month moving averages.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 05/105.
Date of creation: 01 May 2005
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-CWA-2005-10-22 (Central & Western Asia)
- NEP-FOR-2005-10-22 (Forecasting)
- NEP-MAC-2005-10-22 (Macroeconomics)
- NEP-MON-2005-10-22 (Monetary Economics)
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