BibTex RIS Kaynak Göster

EKONOMETRİK MODELLERLE ENFLASYON TAHMİNİ: PAKİSTAN ÜZERİNE AMPİRİK BİR UYGULAMA

Yıl 2006, Cilt: 7 Sayı: 1, 39 - 47, 01.01.2006

Öz

Bu makale Pakistan’daki enflasyonu modellemeyi ve tahmin etmeyi amaçlamaktadır. Bunun için bir takım ekonometrik yaklaşımlar uygulanmış ve sonuçları karşılaştırılmıştır. ARIMA modellerinde p ve/veya q için fazladan gecikme eklenmesi, hesaplanan hata terimlerinin karelerinin toplamını her zaman azaltmadığı görülmüştür. Gecikmeli değerlerle bir model oluşturulduğunda ise bazı gözlemlerin kaybedildiği ortaya çıkmıştır. Sonuçlar ayrıca şunu göstermiştir ki VAR modelleri ARIMA 2,1,2 modellerinden daha iyi performans sergilememekte ve iki faktörlü ARIMA 2,1,2 modeli ARIMA 2,1,2 modelinden az da olsa daha iyi sonuçlar ortaya koymaktadır. Bu çalışma makroekonomik tahmin sorunu üzerine odaklanmasına rağmen elde edilen ampirik sonuçlar küçük ölçekli makroekonometrik modeller için daha genel implikasyonlar taşımaktadır

Kaynakça

  • BAI, J., (2003). Inferential theory for factor models of large dimensions. Econometrica. 71, (1), pp.135-171.
  • BAI, J. & NG, S. (2002). Determining the number of factors in approximate factor models. Econometrica. 70, (1), pp.191-221.
  • BAILLIE, R.T. & CHUNG, C. (1996). Analyzing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics. 11, (1), pp.23-40.
  • BIDARKOTA, P.V. & MCCULLOCH, J.H. (1998). Optimal univariate inflation forecasting with symmetric stable shocks. Journal of Applied Econometrics. 13, (6), pp.659-670.
  • CARLSON, J.A., 1977. Short-term interest rates as predictors of inflation: Comment. The American Review. 67, (3), pp.469-475.
  • CONNOR, G. & KORAJZCYK R.A. (1993). A test for the number of factors in an approximate factor model. The Journal of Finance. 48, (4), pp.1263-1291.
  • DAVIS, E.P. & FAGAN, G. (1997). Are financial spreads useful indicators of future inflation and output growth in EU countries? Journal of Applied Econometrics. 12, (6), pp.701-714.
  • ENGLE, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica. 50, (4), pp.987- 1008.
  • FORNI, M., HALLIN, M., LIPPI, M. & REICHLIN, L. (2000). The generalized dynamic-factor model : identification and estimation. The Review of Economics and Statistics. 82, pp.540-552.
  • HAFER, R.W. & HEIN, S.E. (1985). On the accuracy of time-series, interest rate and survey forecasts of inflation. The Journal of Business, 58, (4), pp.377- 398.
  • (1990). Forecasting inflation using interest-rate and time series models : some international evidence. The Journal of Business. 63, (1), pp.1-17.
  • HAHN, E., (2003). Pass-through of external shocks to euro area inflation. European Central Bank, working paper 243. [Available from: <http://www.ecb.int>]
  • JOINES, D. (1977). Short-term interest rates as predictors of inflation : comment. The American Review. 67, (3), pp.476-477.
  • NELSON, C.S. & SCHWERT, G.W. (1977). Short-term interest rates as predictors of inflation : on testing of the hypothesis that the real rate of interest is constant. The American Review. 67, (3), pp.478-486.
  • QUAH, D. & VAHEY, S.P. (1995). Measuring core inflation. The Economic Journal. 105, pp.1130-1144.
  • RATFAI, A. (2004). Inflation and relative price asymmetry. European Central Bank, working paper 301. [Available from: <http://www.ecb.int>].
  • STOCK, J.H. & WATSON, M.W. (1999). Forecasting inflation. Journal of Monetary Economics. 44, pp.293-335.
  • (2003). Forecasting output and inflation: The role of asset prices. NBER working paper w8180. [Available from: [<http://www.nber.org>]

FORECASTING INFLATION THROUGH ECONOMETRIC MODELS: AN EMPIRICAL STUDY ON PAKISTANI DATA

Yıl 2006, Cilt: 7 Sayı: 1, 39 - 47, 01.01.2006

Öz

This article aims at modeling and forecasting inflation in Pakistan. For this purpose a number of econometric approaches are implemented and their results are compared. In ARIMA models, adding additional lags for p and/or q necessarily reduced the sum of squares of the estimated residuals. When a model is estimated using lagged variables, some observations are lost. Results further indicate that the VAR models do not perform better than the ARIMA 2, 1, 2 models and, the two factor model with ARIMA 2, 1, 2 slightly performs better than the ARIMA 2, 1, 2 . Although the study focuses on the problem of macroeconomic forecasting, the empirical results have more general implications for small scale macroeconometric models.

Kaynakça

  • BAI, J., (2003). Inferential theory for factor models of large dimensions. Econometrica. 71, (1), pp.135-171.
  • BAI, J. & NG, S. (2002). Determining the number of factors in approximate factor models. Econometrica. 70, (1), pp.191-221.
  • BAILLIE, R.T. & CHUNG, C. (1996). Analyzing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics. 11, (1), pp.23-40.
  • BIDARKOTA, P.V. & MCCULLOCH, J.H. (1998). Optimal univariate inflation forecasting with symmetric stable shocks. Journal of Applied Econometrics. 13, (6), pp.659-670.
  • CARLSON, J.A., 1977. Short-term interest rates as predictors of inflation: Comment. The American Review. 67, (3), pp.469-475.
  • CONNOR, G. & KORAJZCYK R.A. (1993). A test for the number of factors in an approximate factor model. The Journal of Finance. 48, (4), pp.1263-1291.
  • DAVIS, E.P. & FAGAN, G. (1997). Are financial spreads useful indicators of future inflation and output growth in EU countries? Journal of Applied Econometrics. 12, (6), pp.701-714.
  • ENGLE, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica. 50, (4), pp.987- 1008.
  • FORNI, M., HALLIN, M., LIPPI, M. & REICHLIN, L. (2000). The generalized dynamic-factor model : identification and estimation. The Review of Economics and Statistics. 82, pp.540-552.
  • HAFER, R.W. & HEIN, S.E. (1985). On the accuracy of time-series, interest rate and survey forecasts of inflation. The Journal of Business, 58, (4), pp.377- 398.
  • (1990). Forecasting inflation using interest-rate and time series models : some international evidence. The Journal of Business. 63, (1), pp.1-17.
  • HAHN, E., (2003). Pass-through of external shocks to euro area inflation. European Central Bank, working paper 243. [Available from: <http://www.ecb.int>]
  • JOINES, D. (1977). Short-term interest rates as predictors of inflation : comment. The American Review. 67, (3), pp.476-477.
  • NELSON, C.S. & SCHWERT, G.W. (1977). Short-term interest rates as predictors of inflation : on testing of the hypothesis that the real rate of interest is constant. The American Review. 67, (3), pp.478-486.
  • QUAH, D. & VAHEY, S.P. (1995). Measuring core inflation. The Economic Journal. 105, pp.1130-1144.
  • RATFAI, A. (2004). Inflation and relative price asymmetry. European Central Bank, working paper 301. [Available from: <http://www.ecb.int>].
  • STOCK, J.H. & WATSON, M.W. (1999). Forecasting inflation. Journal of Monetary Economics. 44, pp.293-335.
  • (2003). Forecasting output and inflation: The role of asset prices. NBER working paper w8180. [Available from: [<http://www.nber.org>]
Toplam 18 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makalesi
Yazarlar

S. M. Husnain Bokharı Bu kişi benim

Mete Feridun Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2006
Yayımlandığı Sayı Yıl 2006 Cilt: 7 Sayı: 1

Kaynak Göster

APA Bokharı, S. M. H., & Feridun, M. (2006). FORECASTING INFLATION THROUGH ECONOMETRIC MODELS: AN EMPIRICAL STUDY ON PAKISTANI DATA. Doğuş Üniversitesi Dergisi, 7(1), 39-47.