Arbeitspapier
Forecasting the Albanian short-term inflation through a Bayesian VAR model
In the context of the Bank of Albania's primary objective of achieving and maintaining price stability, generating accurate and reliable forecasts for the future rate of inflation is a necessity for its successful realization. This paper aims to enrich the Bank's portfolio of short-term inflation forecasting tools through the construction of a Bayesian vector autoregressive (BVAR) model, which unlike standard autoregressive vector (VAR) models, addresses the overparameterization problem, allowing for the inclusion of more endogenous variables, and in this way enabling a more comprehensive explanation of inflation. Several univariate models are estimated to forecast short-term inflation, such as: unconditional mean, random walk, autoregressive integrated moving average (ARIMA) models, and the best performing among them is used as a benchmark to evaluate the forecast performance of the BVAR model. In addition, an unrestricted VAR - the most commonly used tool to obtain projections of the main economic indicators - is constructed as an additional benchmark, based solely on the information that the data series provides. The results show that the BVAR approach, which incorporates more economic information, outperforms the benchmark univariate and the unrestricted VAR models in the different time horizons of the forecast sample, but the differences between models in terms of their forecast performance are not statistically significant.
- Language
-
Englisch
- Bibliographic citation
-
Series: Graduate Institute of International and Development Studies Working Paper ; No. HEIDWP16-2019
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Data Collection and Data Estimation Methodology; Computer Programs: General
- Subject
-
Bayesian estimation
vector autoregressive
forecasting performance
- Event
-
Geistige Schöpfung
- (who)
-
Papavangjeli, Meri
- Event
-
Veröffentlichung
- (who)
-
Graduate Institute of International and Development Studies
- (where)
-
Geneva
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Papavangjeli, Meri
- Graduate Institute of International and Development Studies
Time of origin
- 2019
Other Objects (12)
Short-term inflation forecasting models for Nigeria
Forecasting Macedonian Inflation: Evaluation of different models for short-term forecasting
Inflation forecasting
Forecasting Austrian Inflation
Power system short-term load forecasting
Bayesian Demographic Modeling and Forecasting
Forecasting with Bayesian Vector Autoregressions
Bayesian forecasting and dynamic models
Bayesian forecasting and dynamic models
Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation
Inflation Forecasting with Inflation Sentiment Indicators
Inflation forecasting with inflation sentiment indicators
Short-term inflation forecasting models for Nigeria
Forecasting Macedonian Inflation: Evaluation of different models for short-term forecasting
Inflation forecasting
Forecasting Austrian Inflation
Power system short-term load forecasting
Bayesian Demographic Modeling and Forecasting
Forecasting with Bayesian Vector Autoregressions
Bayesian forecasting and dynamic models
Bayesian forecasting and dynamic models
Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation
Inflation Forecasting with Inflation Sentiment Indicators
Inflation forecasting with inflation sentiment indicators
Short-term inflation forecasting models for Nigeria
Forecasting Macedonian Inflation: Evaluation of different models for short-term forecasting
Inflation forecasting
Forecasting Austrian Inflation
Power system short-term load forecasting
Bayesian Demographic Modeling and Forecasting
Forecasting with Bayesian Vector Autoregressions
Bayesian forecasting and dynamic models
Bayesian forecasting and dynamic models
Forecasting using Bayesian and information theoretic model averaging: An application to UK inflation
Inflation Forecasting with Inflation Sentiment Indicators