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Forecasting Thailand’s Core Inflation
Author:
Tao Sun null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2004: Issue 090
Language:
English
Publication Date:
01 May 2004
DOI:
https://doi.org/10.5089/9781451851427.001
ISBN:
9781451851427
ISSN:
1018-5941
Pages:
28
Keywords:
WP; core inflation; price index; Chow test
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund