Inside Into Aalto.fi
School of Business publications portal
Aaltodoc publication archive
Aalto University School of Business Master's Theses are now in the Aaltodoc publication archive (Aalto University institutional repository)
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:
» hse_ethesis_13714.pdf pdf  size:441 KB (450985)
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
Electronic publications are subject to copyright. The publications can be read freely and printed for personal use. Use for commercial purposes is forbidden.