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Short-Term Forecasting of Inflation in Croatia with Seasonal ARIMA Processes

Author

Listed:
  • Andreja Pufnik

    (The Croatian National Bank, Croatia)

  • Davor Kunovac

    (The Croatian National Bank, Croatia)

Abstract

Inflation forecasting is an essential component of the Monetary Policy Projection, and there are constant efforts to improve it at the Croatian National Bank. One step is to improve the model of short-term forecasting of the consumer price index with seasonal ARIMA processes, where, along with direct forecasting of the total consumer price index, the attempt is made to forecast changes in the index’s components in order to obtain a more detailed insight into the sources of future inflationary or deflationary pressures and to determine whether a forecast of developments in the total consumer price index obtained by aggregating forecasted values of the index’s components is more precise than a direct forecast.

Suggested Citation

  • Andreja Pufnik & Davor Kunovac, 2006. "Short-Term Forecasting of Inflation in Croatia with Seasonal ARIMA Processes," Working Papers 16, The Croatian National Bank, Croatia.
    • Handle: RePEc:hnb:wpaper:16
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    File URL: http://www.hnb.hr/repec/hnb/wpaper/pdf/w-016.pdf
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    References listed on IDEAS

    as
    1. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Forecasting Irish inflation using ARIMA models," Research Technical Papers 3/RT/98, Central Bank of Ireland.
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    3. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    4. Friedrich Fritzer & Gabriel Moser & Johann Scharler, 2002. "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische Nationalbank (Austrian Central Bank).
    5. repec:onb:oenbwp:y::i:73:b:1 is not listed on IDEAS
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    Cited by:

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    2. Vesna Karadzic & Bojan Pejovic, 2021. "Inflation Forecasting in the Western Balkans and EU: A Comparison of Holt-Winters, ARIMA and NNAR Models," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 23(57), pages 517-517.
    3. Nyoni, Thabani, 2019. "Sri Lanka – the wonder of Asia: analyzing monthly tourist arrivals in the post-war era," MPRA Paper 96790, University Library of Munich, Germany.
    4. Emmanuel O. Akande & Elijah O. Akanni & Oyedamola F. Taiwo & Jeremiah D. Joshua & Abel Anthony, 2023. "Predicting inflation component drivers in Nigeria: a stacked ensemble approach," SN Business & Economics, Springer, vol. 3(1), pages 1-32, January.
    5. Andrejs Bessonovs & Olegs Krasnopjorovs, 2021. "Short-term inflation projections model and its assessment in Latvia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 21(2), pages 184-204.

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    More about this item

    Keywords

    inflation; forecasting; ARIMA; Croatia;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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