Is Inflation Target Announced by Bank Indonesia the Most Accurate Inflation Forecast?

Autor:	Faisal Rachman
Jazyk:	angličtina
Rok vydání:	2016
Předmět:	inflation forward-looking backward-looking ARMA VAR Economics as a science HB71-74
Zdroj:	Economics and Finance in Indonesia, Vol 62, Iss 2, Pp 98-120 (2016)
Druh dokumentu:	article
ISSN:	0126-155X 2442-9260
DOI:	10.7454/efi.v62i2.539
Popis:	This article investigates whether following Bank Indonesia’s explicit inflation targets (forward-looking) is a more accurate method of predicting inflation rate in Indonesia than forecast methods utilizing past information of macroeconomic data (backward-looking). The analysis is conducted by performing naive, univariate, and multivariate time-series models with an out-of-sample forecast evaluation period of January 2014–December 2016. It is found that the backward-looking approach outperforms the forward-looking approach at all forecast horizons, indicating that Bank Indonesia still does not succeed to anchor inflation expectation towards the desired level.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c87646b83b734170a277f4a9e0900eb0 Zobrazit plný text záznamu View record in DOAJ