Forecasting Inflation in Malaysia
This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: comm...
Saved in:
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
John Wiley & Sons Ltd
2015
|
Subjects: | |
Online Access: | http://ddms.usim.edu.my/handle/123456789/8204 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my.usim-8204 |
---|---|
record_format |
dspace |
spelling |
my.usim-82042017-02-23T02:10:16Z Forecasting Inflation in Malaysia Jarita, Duasa, Nursilah, Ahmad, Mansor H., Ibrahim, Mohd Pisal, Zainal, Inflation Forecaster VECM Model Malaysian Economy This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the variance decomposition of each indicator and Granger causality between each indicator and inflation. We propose that a simple model using an aggregation of indices improves the accuracy of inflation forecasts. The results support our hypothesis. Copyright (C) 2009 John Wiley & Sons, Ltd. 2015-05-19T01:57:01Z 2015-05-19T01:57:01Z 2010 Article 0277-6693 http://ddms.usim.edu.my/handle/123456789/8204 en John Wiley & Sons Ltd |
institution |
Universiti Sains Islam Malaysia |
building |
USIM Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
Universit Sains Islam i Malaysia |
content_source |
USIM Institutional Repository |
url_provider |
http://ddms.usim.edu.my/ |
language |
English |
topic |
Inflation Forecaster VECM Model Malaysian Economy |
spellingShingle |
Inflation Forecaster VECM Model Malaysian Economy Jarita, Duasa, Nursilah, Ahmad, Mansor H., Ibrahim, Mohd Pisal, Zainal, Forecasting Inflation in Malaysia |
description |
This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the variance decomposition of each indicator and Granger causality between each indicator and inflation. We propose that a simple model using an aggregation of indices improves the accuracy of inflation forecasts. The results support our hypothesis. Copyright (C) 2009 John Wiley & Sons, Ltd. |
format |
Article |
author |
Jarita, Duasa, Nursilah, Ahmad, Mansor H., Ibrahim, Mohd Pisal, Zainal, |
author_facet |
Jarita, Duasa, Nursilah, Ahmad, Mansor H., Ibrahim, Mohd Pisal, Zainal, |
author_sort |
Jarita, Duasa, |
title |
Forecasting Inflation in Malaysia |
title_short |
Forecasting Inflation in Malaysia |
title_full |
Forecasting Inflation in Malaysia |
title_fullStr |
Forecasting Inflation in Malaysia |
title_full_unstemmed |
Forecasting Inflation in Malaysia |
title_sort |
forecasting inflation in malaysia |
publisher |
John Wiley & Sons Ltd |
publishDate |
2015 |
url |
http://ddms.usim.edu.my/handle/123456789/8204 |
_version_ |
1645152364544393216 |
score |
13.18916 |