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Forecasting Thailand's core inflation

Author: Tao Sun, (Economist); International Monetary Fund. Asia and Pacific Department,
Publisher: [Washingon D.C.] : International Monetary Fund, ©2004.
Series: IMF working paper, WP/04/90.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Sun, Tao.
Forecasting Thailand's core inflation.
[Washingon D.C.] : International Monetary Fund, ©2004
(OCoLC)56322504
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Tao Sun, (Economist); International Monetary Fund. Asia and Pacific Department,
ISBN: 1451897294 9781451897296 1281328715 9781281328717
OCLC Number: 647626631
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (28 pages).
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/04/90.
Responsibility: prepared by Tao Sun.

Abstract:

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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