Forecasting Korean inflation
This paper studies the performance of various forecasting models for Ko- rean inflation rates. The models studied in this paper are the AR(p) model, the dynamic predictive regression model with such exogenous variables as the un- employment rate and the term spread, the inflation target model, the random- walk model, and the dynamic predictive regression model using estimated fac- tors along with the unemployment rate and the term spread. The sampling period studied in this paper is 2000M11-2011M06. Among the studied models, the dynamic predictive regression model using estimated factors along with the unemployment rate and the term spread tends to perform best at the 6-month horizon when the factors are extracted from I(0) series and the variables for the factor extraction are selected by the criterion of the correlation of each variable with the inflation rate. The dynamic predictive regression models with the unemployment rate and the term spread also work well at shorter horizons.
|Date of creation:||Feb 2012|
|Date of revision:|
|Contact details of provider:|| Postal: 1 Sinsu-dong, Mapo-gu, Seoul 121-742|
Web page: http://home.sogang.ac.kr/sites/sgrime
More information through EDIRC
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.:
- Jean Boivin & Serena Ng, 2003.
"Are More Data Always Better for Factor Analysis?,"
NBER Working Papers
9829, National Bureau of Economic Research, Inc.
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Journal of Monetary Economics,
Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
- Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
- Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
- Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
- Choi, In, 2012.
"Efficient Estimation Of Factor Models,"
Cambridge University Press, vol. 28(02), pages 274-308, April.
- Marc Hallin & Mario Forni & Marco Lippi & Lucrezia Reichlin, 2003.
"Do financial variables help forecasting inflation and real activity in the Euro area ?,"
ULB Institutional Repository
2013/2123, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003. "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1243-1255, September.
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.
- Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
- Jörg Breitung & Sandra Eickmeier, 2006.
"Dynamic factor models,"
AStA Advances in Statistical Analysis,
Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
- Marie Diron & Benoît Mojon, 2008. "Are inflation targets good inflation forecasts?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 33-45.
- Dotsey, Michael & Fujita, Shigeru & Stark, Tom, 2011. "Do Phillips curves conditionally help to forecast inflation?," Working Papers 11-40, Federal Reserve Bank of Philadelphia.
- Sharon Kozicki, 1997. "Predicting real growth and inflation with the yield spread," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 39-57.
- Inoue, Atsushi & Kilian, Lutz, 2008. "How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 511-522, June.
- Jonas D. M. Fisher & Chin Te Liu & Ruilin Zhou, 2002. "When can we forecast inflation?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 32-44.
- Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
When requesting a correction, please mention this item's handle: RePEc:sgo:wpaper:1202. 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: (In Choi)
If references are entirely missing, you can add them using this form.