Forecasting Finnish inflation with commodity indexes
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School of Business |
Master's thesis
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Authors
Date
2014
Major/Subject
Economics
Kansantaloustiede
Kansantaloustiede
Mcode
Degree programme
Language
en
Pages
47
Series
Abstract
We examined whether commodity index prices could improve forecasts of Finnish inflation. Inflation forecasts are made for horizons of one, three, six and twelve months, for the period January 2008 - March 2014. Forecasts from the commodity ADL models are compared to benchmarks set by comparable univariate AR models. In some cases the commodity ADL models have slightly smaller root mean squared forecast errors than their benchmark, but the improvements are not statistically significant. Data: Finnish inflation, Dow Jones-UBS and IMF commodity indexes, exchange rates Methods: AR, ADL and MA time series modelsDescription
Keywords
inflation, commodity index, forecasting, time series