Forecasting inflation in Malaysia

Forecasting inflation in Malaysia

This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: c...

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Main Authors: Duasa, Jarita, Ahmad, Nursilah, Ibrahim, Mansor, Zainal, Mohd Pisal
Format: Article
Language:English
English
Published: Wiley Online Library 2010
Subjects:
HA Statistics
HB Economic Theory
Online Access:http://irep.iium.edu.my/3859/
http://irep.iium.edu.my/3859/
http://irep.iium.edu.my/3859/
http://irep.iium.edu.my/3859/1/FOR_1154_Rev_EV.pdf
http://irep.iium.edu.my/3859/4/forecasting_inflation.pdf
id iium-3859
recordtype eprints
spelling iium-38592012-05-08T03:26:17Z http://irep.iium.edu.my/3859/ Forecasting inflation in Malaysia Duasa, Jarita Ahmad, Nursilah Ibrahim, Mansor Zainal, Mohd Pisal HA Statistics HB Economic Theory This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the variance decomposition of each indicator and Granger causality between each indicator and inflation. We propose that a simple model using an aggregation of indices improves the accuracy of inflation forecasts. The results support our hypothesis. Wiley Online Library 2010-08-22 Article PeerReviewed application/pdf en http://irep.iium.edu.my/3859/1/FOR_1154_Rev_EV.pdf application/pdf en http://irep.iium.edu.my/3859/4/forecasting_inflation.pdf Duasa, Jarita and Ahmad, Nursilah and Ibrahim, Mansor and Zainal, Mohd Pisal (2010) Forecasting inflation in Malaysia. Journal of Forecasting, 29 (6). pp. 573-594. ISSN 1099-131X http://onlinelibrary.wiley.com/doi/10.1002/for.1154/abstract doi: 10.1002/for.1154
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
English
topic HA Statistics
HB Economic Theory
spellingShingle HA Statistics
HB Economic Theory
Duasa, Jarita
Ahmad, Nursilah
Ibrahim, Mansor
Zainal, Mohd Pisal
Forecasting inflation in Malaysia
description This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the variance decomposition of each indicator and Granger causality between each indicator and inflation. We propose that a simple model using an aggregation of indices improves the accuracy of inflation forecasts. The results support our hypothesis.
format Article
author Duasa, Jarita
Ahmad, Nursilah
Ibrahim, Mansor
Zainal, Mohd Pisal
author_facet Duasa, Jarita
Ahmad, Nursilah
Ibrahim, Mansor
Zainal, Mohd Pisal
author_sort Duasa, Jarita
title Forecasting inflation in Malaysia
title_short Forecasting inflation in Malaysia
title_full Forecasting inflation in Malaysia
title_fullStr Forecasting inflation in Malaysia
title_full_unstemmed Forecasting inflation in Malaysia
title_sort forecasting inflation in malaysia
publisher Wiley Online Library
publishDate 2010
url http://irep.iium.edu.my/3859/
http://irep.iium.edu.my/3859/
http://irep.iium.edu.my/3859/
http://irep.iium.edu.my/3859/1/FOR_1154_Rev_EV.pdf
http://irep.iium.edu.my/3859/4/forecasting_inflation.pdf
first_indexed 2023-09-18T20:11:50Z
last_indexed 2023-09-18T20:11:50Z
_version_ 1777407529554280448

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