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- Title
UČINKOVITOST MODELA KRATKOROČNOG PROGNOZIRANJA INFLACIJE U BOSNI I HERCEGOVINI.
- Authors
MUSA, ANTONIO
- Abstract
The aim of this paper is to evaluate monthly short-term forecasts of the inflation in the Bosnia and Herzegovina, in a period characterized by exogenous shocks. Along with a wider group of forecasting models based on different methodologies, the choice of the variables and the measurement of the forecasting error function represent the core of forecasting. In the previous years, which were marked by the pandemic of corona virus and the war in the Ukraine, which was followed by even more significant inflationary pressure, short-term forecasting models played a more significant role than structural models. By comparing different methodological approaches to short-term inflation forecasting, the intention is to explain the advantages and disadvantages of a simple aggregated ARIMA model, a disaggregated model according to components of the consumer price index, and a VAR model for multivariate time series. The paper presents an evaluation of the performance of short-term inflation forecasting models with the aim of understanding which models and in which periods contribute to more adequate inflation forecasts. In order to minimize the risk, the goal is to select forecasting models that have an acceptable performance outside the simulation sample. The individual performance of the model is based on the root mean square error. Based on the evaluation of the performance of individual models, the factor VAR model has the smallest prognostic error during the tested projection horizon, while the disaggregated model outpreformed the simple ARIMA model in the longer forecast period.
- Publication
Zbornik Radova: Univerzitet 'Džemal Bijedić' u Mostaru, Ekonomski Fakultet, 2023, Vol 21, Issue 33, p163
- ISSN
0352-258X
- Publication type
Article