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Asia and Pacific > Thailand

You are looking at 1 - 5 of 5 items for :

  • Type: Journal Issue x
  • Forecasting and Other Model Applications x
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Cover IMF Working Papers
Inflation Reports and Models: How Well Do Central Banks Really Write?
Mr. Ales Bulir
,
Jaromír Hurník
, and
Ms. Katerina Smídková
We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by comparing inflation factors reported by the central banks with ex-post model-identified factors. Regarding the former, we use verbal analysis and coding of inflation reports to describe inflation factors communicated by central banks in real time. Regarding the latter, we use reduced-form, new Keynesian models and revised data to approximate the true inflation factors. Positive correlations indicate that the reported inflation factors were similar to the true, model-identified ones and hence mark high-quality inflation reports. Although central bank reports on average identify inflation factors correctly, the degree of forward-looking reporting varies across factors, time, and countries.
Keywords:
WP; inflation factor; inflation report; correlation Between Reported; inflation target; report communication; Inflation targeting; Kalman filter; monetary policy communication; correlation coefficient; inflation expectation; inflation deviation; Inflation; Exchange rates; Communications in revenue administration; Global
Cover IMF Working Papers
Testing the Transparency Benefits of Inflation Targeting: Evidence from Private Sector Forecasts
Mr. Christopher W. Crowe
I test whether inflation targeting (IT) enhances transparency using inflation forecast data for 11 IT adoption countries. IT adoption promotes convergence in forecast errors, suggesting that it enhances transparency. This effect is robust to dropping observations, is strengthened by using instrumental variable estimation to eliminate mean-reversion, and is absent in placebo regressions (where IT adoption is shifted by a year). This result supports Morris and Shin's (2002) contention that better public information is most beneficial for forecasters with bad private information. However, it does not support their hypothesis that better public information could make private forecasts less accurate.
Keywords:
WP; central bank
Cover IMF Working Papers
Forecasting Thailand’s Core Inflation
Tao Sun
This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the projections derived from the short-term time-series properties of core inflation to its longer-run evolution. This involves combining a short-term model, which attempts to distill the forecasting power of a variety of monthly indicators purely on goodness-of-fit criteria, with an equilibrium-correction model that pins down the convergence of core inflation to its longer-run structural determinants. The result is a promising model for forecasting Thai core inflation over horizons up to 10, 24, and 55 months, based on a root mean-squared error criterion as well as a mean absolute error criterion.
Keywords:
WP; core inflation; price index; Chow test
Cover IMF Working Papers
Early Warning Systems: A Survey and a Regime-Switching Approach
Mr. Abdul d Abiad
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.
Keywords:
WP; exchange rate; growth rate; Markov chain; Currency crisis; early warning system; regime switching; Markov switching; crisis probability; short-term debt; nominal exchange rate; crisis date; identification method; crisis vulnerability; discriminant analysis; crisis index; crisis measure; crisis duration; crisis-identification threshold; Currency crises; Early warning systems; Exchange rates; Markov-switching models; Global
Cover IMF Working Papers
Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
Mr. Peter F. Christoffersen
and
Mr. Lorenzo Giorgianni
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio—appropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992–February 1997).
Keywords:
WP; exchange rate; U.S. dollar; Time-varying Parameters; Cointegration; Exchange Rates; basket weight; standard deviation; dollar rate; dollar exchange rate; intervention rate; Cointegrating regression; risk-adjusted return; cross-currency risk; Currencies; Hedging; Conventional peg; Public expenditure review