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Система селективно - комбинированного прогноза инфляции (SSCIF)// Selective-Combined Inflation Forecasting System

Author

Listed:
  • Адилханова Зарина // Adilkhanova Zarina

    (National Bank of Kazakhstan)

  • Ержан Ислам // Yerzhan Islam

    (National Bank of Kazakhstan)

Abstract

В условиях нестабильной макроэкономической среды повышение точности прогнозирования инфляции является приоритетной задачей для центральных банков, особенно тех, которые придерживаются режима инфляционного таргетирования. Традиционные эконометрические модели сталкиваются с ограничениями при учёте волатильности, внешних шоков и нелинейных взаимосвязей. Данное исследование направлено на улучшение прогнозирования инфляции путём интеграции методов машинного обучения в существующую систему селективно-комбинированного прогнозирования инфляции. Включение таких алгоритмов, как Ridge Regression, Lasso Regression и Elastic Net, позволяет выявлять сложные паттерны в макроэкономических данных и повышать точность прогнозов. Сравнительный анализ прогнозов, полученных с использованием традиционных эконометрических моделей (OLS, LTAR, BVAR, RW) и алгоритмов машинного обучения, показывает, что гибридный подход значительно снижает ошибки прогнозирования и повышает надёжность прогнозов в краткосрочном периоде. Полученные результаты могут внести вклад в совершенствование инструментов макроэкономического прогнозирования и развитие более эффективной денежно-кредитной политики, поддерживая качество принятия решений центральными банками. // In an environment of macroeconomic instability, improving the accuracy of inflation forecasting is a priority for central banks, especially those operating under inflation targeting regimes. Traditional econometric models face limitations in accounting for volatility, external shocks, and nonlinear relationships. This study aims to enhance inflation forecasting by integrating machine learning methods into the existing Selective-Combined Inflation Forecasting System (SSCIF). The inclusion of algorithms such as Ridge Regression, Lasso Regression, and Elastic Net enables the identification of complex patterns in macroeconomic data, thereby improving forecast accuracy. A comparative analysis of forecasts generated using traditional econometric models (OLS, LTAR, BVAR, RW) and machine learning algorithms demonstrates that the hybrid approach significantly reduces forecasting errors and enhances the reliability of short-term forecasts. The results contribute to the advancement of macroeconomic forecasting tools and the development of more effective monetary policy, supporting better decision-making by central banks.

Suggested Citation

  • Адилханова Зарина // Adilkhanova Zarina & Ержан Ислам // Yerzhan Islam, 2024. "Система селективно - комбинированного прогноза инфляции (SSCIF)// Selective-Combined Inflation Forecasting System," Working Papers #2024-13, National Bank of Kazakhstan.
  • Handle: RePEc:aob:wpaper:62
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    More about this item

    Keywords

    инфляция; прогнозирование; индекс потребительских цен; модель; машинное обучение; эконометрические модели; точность прогнозов; inflation; forecasting; consumer price index; model; machine learning; econometric models; forecast accuracy;
    All these keywords.

    JEL classification:

    • 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
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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