School of Business | Department of Economics | Economics | 2014
Thesis number: 13714
Forecasting Finnish inflation with commodity indexes
| Author: | Koskinen, Juhani |
| Title: | Forecasting Finnish inflation with commodity indexes |
| Year: | 2014 Language: eng |
| Department: | Department of Economics |
| Academic subject: | Economics |
| Index terms: | kansantaloustiede; economics; kansantalous; national economy; inflaatio; inflation; ennusteet; forecasts; Suomi; Finland |
| Pages: | 47 |
| Full text: | |
| Key terms: | inflation; commodity index; forecasting; time 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 models |
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