Forecasting inflation in an inflation targeting economy: structural versus nonstructural models. Issue 24 (21st May 2017)

• Record Type: Journal Article
• Authors: Gupta, Rangan
• Is Part Of: Applied economics. Volume 49:Issue 24(2017)
• Page Start: 2316
• Page End: 2321
• Publication Date: 2017-05-21
• Subjects: Inflation -- South Africa -- structural -- atheoretical -- factors -- DSGE; C11 -- C32 -- C52; Economics -- Periodicals; 330
• DOI: 10.1080/00036846.2016.1237760
• Languages: English
• ISSNs: 0003-6846

Abstract

ABSTRACT: We propose a comparison between atheoretical and theoretical models in forecasting the inflation rate for an inflation-targeting country such as South Africa. In a pseudo real-time environment, our results show that for shorter horizons, the atheoretical error correction models, with and without factors, perform better; while for longer horizons, theoretical (Dynamic Stochastic General Equilibrium-based) models outperform their competitors.