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Forecasting inflation in China

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  • Mehrotra, Aaron
  • Sánchez-Fung, José R.

Abstract

This paper forecasts inflation in China over a 12-month horizon. The analysis runs 15 alternative models and finds that only those considering many predictors via a principal component display a better relative forecasting performance than the univariate benchmark.

Suggested Citation

  • Mehrotra, Aaron & Sánchez-Fung, José R., 2008. "Forecasting inflation in China," BOFIT Discussion Papers 2/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    • Handle: RePEc:zbw:bofitp:bdp2008_002
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    References listed on IDEAS

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    1. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
    2. Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 10, pages 515-554, Elsevier.
    3. Andrew Atkeson & Lee E. Ohanian, 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 25(Win), pages 2-11.
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    Cited by:

    1. repec:zbw:bofitp:2008_015 is not listed on IDEAS
    2. repec:zbw:bofism:2012_046 is not listed on IDEAS
    3. Qin Zhang & He Ni & Hao Xu, 2023. "Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 719-767, March.
    4. Koivu, Tuuli & Mehrotra, Aaron & Nuutilainen, Riikka, 2008. "McCallum rule and Chinese monetary policy," BOFIT Discussion Papers 15/2008, Bank of Finland, Institute for Economies in Transition.
    5. Juuso Kaaresvirta & Aaron Mehrotra, 2009. "Business surveys and inflation forecasting in China," Economic Change and Restructuring, Springer, vol. 42(4), pages 263-271, November.
    6. Juuso Kaaresvirta & Aaron Mehrotra, 2009. "Business surveys and inflation forecasting in China," Economic Change and Restructuring, Springer, vol. 42(4), pages 263-271, November.
    7. repec:zbw:bofitp:2008_022 is not listed on IDEAS
    8. Christina Anderl & Guglielmo Maria Caporale, 2023. "Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts," Manchester School, University of Manchester, vol. 91(3), pages 171-232, June.
    9. Koivu, Tuuli, 2012. "Monetary policy in transition : Essays on monetary policy transmission mechanism in China," Scientific Monographs, Bank of Finland, number 2012_046.
    10. Chris Heaton & Natalia Ponomareva & Qin Zhang, 2020. "Forecasting models for the Chinese macroeconomy: the simpler the better?," Empirical Economics, Springer, vol. 58(1), pages 139-167, January.

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