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(in Persian)

Author

Listed:
  • Bayat, Saeed

    (Iran)

  • Barakchian, Seyed Mahdi

    (Iran)

Abstract

The goal of the paper is to evaluate the accuracy of DCC method in forecasting inflation. In the research, 12 sub aggregates of CPI data are applied over the period 1369:1 to 1390:4. Our results show that DCC more accurate than benchmark models (AR(1) and random walk) in all forecast horizons although this more accuracy is not statistically significant. Also, in forecasting inflation of 12 sub aggregates of CPI, the forecast accuracy of communication group is more than others.

Suggested Citation

  • Bayat, Saeed & Barakchian, Seyed Mahdi, 2014. "(in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(19), pages 103-124, May.
    • Handle: RePEc:mbr:jmbres:v:7:y:2014:i:19:p:103-124
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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