IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Forecasting Swiss inflation using VAR models

  • Caesar Lack
Registered author(s):

    A procedure that has been used at the Swiss National Bank for selecting vector-autoregressive (VAR) models in order to forecast Swiss consumer price inflation is presented. In order to examine and improve the quality of the procedure, it is submitted to several modifications and the results are compared with one another. Combining forecasts substantially improves the quality of the forecasts. Models specified with respect to levels of variables are superior to those specified with respect to differences in variables. Bank loans and the monetary aggregate M3 are the most important variables for inflation forecasting. The optimized procedure reduces the root mean squared error (RMSE) of the inflation forecast to one third of the RMSE of a naive "no change" forecast over the period from 1987 to 2005.

    If 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.

    File URL: http://www.snb.ch/n/mmr/reference/economic_studies_2006_02/source/economic_studies_2006_02.n.pdf
    Download Restriction: no

    Paper provided by Swiss National Bank in its series Economic Studies with number 2006-02.

    as
    in new window

    Length: 28 pages
    Date of creation: 2006
    Date of revision:
    Handle: RePEc:snb:snbecs:2006-02
    Contact details of provider: Postal: Börsenstrasse 15, P. O. Box, CH - 8022 Zürich
    Phone: +41 44 631 31 11
    Fax: +41 44 631 39 11
    Web page: http://www.snb.ch/en/ifor/research/
    Email:


    More information through EDIRC

    References listed on IDEAS
    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.:

    as in new window
    1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
    2. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:snb:snbecs:2006-02. 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: (Enzo Rossi)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.