IDEAS home Printed from https://ideas.repec.org/a/wun/journl/tjev05y2012i17a10.html
   My bibliography  Save this article

Forecast Intervals for Inflation in Romania

Author

Listed:
  • Mihaela BRATU

    (Academy of Economic Studies, Bucharest, Romania)

Abstract

In this paper I built forecasts intervals for the inflation rate in Romania, using the quarterly predicted values provided by the National Bank of Romania for 2007-2010. First, I used the historical errors method, which is the most used method, especially by the central banks. Forecast intervals were built considering that the forecast error series is normally distributed of zero mean and standard deviation equal to the RMSE (root mean squared error) corresponding to historical forecast errors. I introduced as a measure of economic state the indicator relative variance of the phenomenon at a specific time in relation with the variance on the entire time horizon Then, I calculated the relative volatility in order to know the change that must be brought to the root mean squared error in order to take into account the state of economy. Finally, I proposed a new way of building forecasts intervals, when the date series follows an autoregressive process of order 1. In this case, the length of forecasts interval is smaller and I got a slightly higher relative variance. I consider the building of forecasts intervals truly necessary, in order to have a measure of predictions uncertainty, which is quantified by the National Bank of Romania using the prediction intervals based on a simple methodology. I calculated the forecasts intervals using MAE (mean absolute error), the indicator chosen by the National Bank of Romania and the MSE (mean squared error) indicator.

Suggested Citation

  • Mihaela BRATU, 2012. "Forecast Intervals for Inflation in Romania," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 5(17), pages 145-152.
  • Handle: RePEc:wun:journl:tje:v05:y2012:i17:a10
    as

    Download full text from publisher

    File URL: http://www.tje.uvt.ro/index.php/tje/article/download/137/pdf
    Download Restriction: no

    File URL: http://www.tje.uvt.ro/index.php/tje/article/view/137
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mihaela Simionescu, 2014. "Forecast Intervals for Inflation Rate and Unemployment Rate in Romania," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(5), pages 39-51, October.
    2. Simionescu, Mihaela, 2017. "Prediction intervals for inflation and unemployment rate in Romania. A Bayesian approach," GLO Discussion Paper Series 82, Global Labor Organization (GLO).

    More about this item

    Keywords

    forecast intervals; historical forecasts errors; root mean squared error (RMSE); relative variance; uncertainty;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wun:journl:tje:v05:y2012:i17:a10. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Romeo Margea). General contact details of provider: http://edirc.repec.org/data/feuvtro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.