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Czasopismo
2010 | nr 4 | 23-43
Tytuł artykułu

Krótkookresowe prognozowanie inflacji z użyciem modeli czynnikowych

Warianty tytułu
Short-Term Inflation Forecasting Using Factor Models
Języki publikacji
PL
Abstrakty
Dynamiczne modele czynnikowe (DFM) umożliwiają uzyskanie syntetycznej informacji o kształtowaniu się zmienności dużego zbioru danych. Celem niniejszego opracowania jest sprawdzenie jakości krótkookresowych prognoz inflacji CPI oraz inflacji bazowej w Polsce (z wyłączeniem cen energii i żywności), sporządzonych za pomocą modeli DFM. W badaniu wykorzystano 182 szeregi czasowe o częstotliwości miesięcznej, obejmujące obserwacje zmiennych makroekonomicznych od 1999 do 2009 r. Otrzymane rezultaty wskazują, że efektywne korzystanie z dużego zbioru danych może obniżyć błędy poza próbę prognoz inflacji, szczególnie dla dłuższych horyzontów prognozy. Podobne wyniki dla inflacji uzyskano we wcześniejszych badaniach. (abstrakt oryginalny)
EN
Dynamic Factor Models are useful forecasting tools in data-rich macroeconomic environment. In the paper we test short-term forecasting ability of diffusion index model for two Polish inflation indices (overall CPI and core inflation). To this end, we generate factors collecting synthetic information from a large macroeconomic database consisting of 182 monthly time series from the period 1999-2009 and use them in direct forecasting exercises. The forecasting results compared to popular benchmark models (AR, leading indicator, random walk, simple mean) suggest that out-of-sample prediction errors can be reduced when using factor models, especially for longer horizons (up to a year ahead). Similar conclusions for other inflation series have been drawn in other studies. (original abstract)
Czasopismo
Rocznik
Numer
Strony
23-43
Opis fizyczny
Twórcy
  • Narodowy Bank Polski; Uniwersytet Łódzki
  • Narodowy Bank Polski
  • Narodowy Bank Polski; Uniwersytet Łódzki
Bibliografia
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  • Angelini E., Bańbura M., Runstler G. (2008), Estimating and Forecasting the Euro Area Monthly National Accounts From a Dynamic Factor Model, ECB Working Paper, 953.
  • Angelini E., Henry J., Mestre, R. (2001), Diffusion Index-based Inflation Forecasts for the Euro Area, ECB Working Paper, 061.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000167878893
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