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Inflation Dynamics in FYR Macedonia / Maral Shamloo.
- Format:
- Book
- Government document
- Author/Creator:
- Shamloo, Maral.
- Series:
- IMF Working Papers; Working Paper ; No. 2011/287
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Inflation (Finance)--Macedonia--Forecasting--Econometric models.
- Inflation (Finance).
- Inflation (Finance)--Forecasting--Econometric models.
- Physical Description:
- 1 online resource (25 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2011.
- Language Note:
- English
- Summary:
- In this paper we study the dynamics of inflation in Macedonia, provide three forecasting tools and draw some policy conclusions from the quantitative results. We explore three forecasting methods for inflation. We use a Dynamic Factor Model (DFM) for short-term, monthly forecasting. We also develop two quarterly models: A Vector Error Correction Model (VECM), and a New Keynesian Phillips Curve (NKPC) for a more structural model of inflation. The NKPC shows a significant effect of output gap and inflation expectations on current inflation, confirming that the expectations channel of monetary transmission mechanism is strong. In terms of forecast-error variance, we show that all three models do very well in one-period ahead forecasting.
- Contents:
- Cover; Abstract; Contents; I. Introduction; II. Methodologies; A. Dynamic Factor Model; B. Vector Error Correction Model; C. New Keynesian Phillips Curve; D. Comparison of Forecasting Methods; III. Summary and Policy Conclusions; Tables; 1. ADF Tests; 2. Cointegration Test Results; 3. NKPC Estimates; 4. Forward-looking Component of Inflation Comparing Macedonia with New EU Member States; 5. Comparison of Methods; Figures; 1. One-period ahead forecast of the four factors; 2. Inflation, as predicted by the four factors; 3. Inflation forecast using DFM
- 4. Inflation predicted using the VECM method5. Monetary policy shocks; 6. Inflation predicted using the estimated Phillips Curve; IV. Appendix I; References
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on online resource; title from PDF title page (ebrary, viewed September 26, 2014).
- ISBN:
- 9786613877628
- 9781463992125
- 1463992122
- 9781463988845
- 1463988842
- 9781283565172
- 128356517X
- 9781463931773
- 1463931778
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