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Forecasting Inflation in Sweden

Author

Listed:
  • Lindholm, Unn

    (National Institute of Economic Research)

  • Mossfeldt, Marcus

    (Ministry of Finance)

  • Stockhammar, Pär

    (National Institute of Economic Research)

Abstract

In this paper, we make use of Bayesian VAR (BVAR) models to conduct an out-of-sample forecasting exercise for CPIF inflation, as used as the inflation target by the Riksbank in Sweden. The proposed BVAR models generally outperform simple benchmark models, the BVAR model used by the Riksbank as presented in Iversen et al. (2016) and professional forecasts made by the National Institute of Economic Research in Sweden. Moreover, the BVAR models proposed in the present paper have better forecasting precision than both survey forecasts and the method suggested by Faust and Wright (2013).

Suggested Citation

  • Lindholm, Unn & Mossfeldt, Marcus & Stockhammar, Pär, 2018. "Forecasting Inflation in Sweden," Working Papers 152, National Institute of Economic Research.
    • Handle: RePEc:hhs:nierwp:0152
    as

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    More about this item

    Keywords

    Bayesian VAR; Inflation; Out-of-sample forecasting precision;
    All these keywords.

    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

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