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Asia and Pacific > Thailand

You are looking at 1 - 4 of 4 items for :

  • Type: Journal Issue x
  • Economic forecasting 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
Sudden Stops, Output Drops, and Credit Collapses
Jihad Dagher
This paper proposes a tractable Sudden Stop model to explain the main patterns in firm level data in a sample of Southeast Asian firms during the Asian crisis. The model, which features trend shocks and financial frictions, is able to generate the main patterns observed in the sample during and following the Asian crisis, including the ensuing credit-less recovery, which are also patterns broadly shared by most Sudden Stop episodes as documented in Calvo et al. (2006). The model also proposes a novel explanation as to why small firms experience steeper declines than their larger peers as documented in this paper. This size effect is generated under the assumption that small firms are growth firms, to which there is support in the data. Trend shocks when combined with financial frictions in this model also generate strong leverage effects in line with what is observed in the sample, and with other observations from the literature.
Keywords:
WP; mover accent; market value; business cycle; interest rate; transition probability; Financial liberalization; welfare gain; financial deepening; economic growth; small firm; maximization problem; productivity parameter; firm decrease; growth firm; leverage firm; Sudden stops; Financial frictions; Stocks; Business cycles; Southeast Asia
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