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Evaluation of the Optimality of CPI and PPI Forecasts and Comparison of Their Effectiveness

Author

Listed:
  • Mehmet Horasanlı

    (İş Portföy Yönetimi A.Ş.)

  • Sezgin Yıldırım

    (İş Portföy Yönetimi A.Ş.)

Abstract

This paper investigates the optimality of the CPI and PPI forecasts of various financial institutions via Mincer Zarnowitz regression. Moreover, the forecasts of the instituons, that are found to be successful for a long horizon are evaluated by using Diebold- Mariano test in order to determine most successful institutions and rank them according to their prediction ability.

Suggested Citation

  • Mehmet Horasanlı & Sezgin Yıldırım, 2011. "Evaluation of the Optimality of CPI and PPI Forecasts and Comparison of Their Effectiveness," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 26(92), pages 9-29, July.
    • Handle: RePEc:acc:malfin:v:26:y:2011:i:92:p:9-29
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