Arbeitspapier

Inflation decomposition model: Application to Macedonian inflation

The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by macroeconomic model of NBRM for monetary policy analysis and medium term projections (MAKPAM), into its components: food, energy and core inflation. The model for inflation decomposition is a small structural model, set up in state space framework. Kalman filter procedure is applied to filter the future paths of CPI components, given projected headline inflation obtained by MAKPAM model and exogenous determinants, such as output gap, world commodity prices, and foreign effective inflation. The results of the model's forecasting performance suggest that this model can be a useful analytical tool in the process of inflation forecast, with relatively good fit of equations for food and domestic oil prices. This model serves as satellite model to MAKPAM and enriches the set of tools for forecasting and monetary policy analysis in NBRM. In this paper we highlight its most important equations, results and model performances.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 6/2018

Klassifikation
Wirtschaft
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Thema
Inflation
forecasting
Macedonia

Ereignis
Geistige Schöpfung
(wer)
Andonova, Danica Unevska
Ereignis
Veröffentlichung
(wer)
National Bank of the Republic of Macedonia
(wo)
Skopje
(wann)
2018

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Andonova, Danica Unevska
  • National Bank of the Republic of Macedonia

Entstanden

  • 2018

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