Türkiye Ekonomisi İçin ARIMA ve Phillips Eğrisi Modellerinin Enflasyon Tahmin Performanslarının Karşılaştırılması: 1995-2014
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DOI: 10.5455/ey.35511
Note: [English Title] The Comparison of in-sample Forecast Performance of Inflation with ARIMA and Phillips Curve Models for Turkey: 1995-2014 [English Abstract] It is important for policymakers to forecast inflation correctly to struggle with it. There is a wide literature about forecasting inflation with minimum error created by central banks and economists. In this paper, the forecast performance of inflation with different tecniques are examined for the Turkish Economy for the period of 1995-2014. The forecast performance of different tecniques are evaluated by root mean square error, mean absolute error, mean absolute percent error and Theil U coefficient. The inflation forecasts are done by ARIMA, Augmented Phillips Curve, New Keynessien Phillips Curve and Triangle Model. The NAIRU (non-accelerating inflation rate of unemployment) variable in Triangle Model is produced by using two different methods which are Hodrick-Prescott Fitler and Time Varying Parameters. [English Keywords] Inflation Forecast, Phillips Curve, ARIMA, Hodrick-Prescott, triangle model, Kalman filter.
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Keywords
Enflasyon tahmini; Phillips Eğrisi; ARIMA; Hodrick-Prescott; üçgen model; Kalman filtresi.;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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