Short-term Inflation Forecast Combination Analysis for Uzbekistan

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Khumoyun Usmanaliev
Khumoyun Usmanaliev

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In this paper, we produce the short-term inflation forecast for Uzbekistan, using univariate and multivariate econometric models. In particular, we use Auto Regressive Integrated Moving Average (ARIMA) model, Bayesian Vector Auto regression Model (BVAR) and Vector Error Correction model (VECM) to project CPI inflation and its decomposed subcomponents. The results of the forecast combination analysis are in line with the outcomes of the other research done in this field. The relative performance of combined forecasts based on the RMSE weighting scheme are on average 33% better for 6-month ahead. Despite some individual models demonstrate better performance in certain time horizons, the overall results reveal that forecast combination method permits to reduce the forecast error in comparison with the aforementioned models taken separately.

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References

  1. M Aiolfi,C Capistran,Timmermann (2010). Forecast Combinations.
  2. K Akdogan,S Baser,M Chadwick,D Ertug,T Hulagu,S Kosem,F Ogunc,M Ozmen,N Tekatli (2012). Short-term inflation forecasting models for Turkey and a forecast combination analysis.
  3. A Andreev (2016). Inflation forecasts based on the combination method in Bank of Russia.
  4. J Bates,C Granger (1969). The combination of forecasts.
  5. H Bjornland,A Jore,C Smith,L Thorsrud (2008). Improving and evaluating short-term forecasts at the Norges Bank.
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  7. R Litterman (1986). Forecasting with Bayesian vector autoregressions-five years of experience.
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  9. Allan Timmermann (2006). Chapter 4 Forecast Combinations.
  10. A Tuleuov (2017). Kazakhstan.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

Khumoyun Usmanaliev. 2019. \u201cShort-term Inflation Forecast Combination Analysis for Uzbekistan\u201d. Global Journal of Human-Social Science - E: Economics GJHSS-E Volume 19 (GJHSS Volume 19 Issue E4): .

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GJHSS Volume 19 Issue E4
Pg. 51- 57
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Crossref Journal DOI 10.17406/GJHSS

Print ISSN 0975-587X

e-ISSN 2249-460X

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GJHSS-E Classification: FOR Code: 140299
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v1.2

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May 17, 2019

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English

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In this paper, we produce the short-term inflation forecast for Uzbekistan, using univariate and multivariate econometric models. In particular, we use Auto Regressive Integrated Moving Average (ARIMA) model, Bayesian Vector Auto regression Model (BVAR) and Vector Error Correction model (VECM) to project CPI inflation and its decomposed subcomponents. The results of the forecast combination analysis are in line with the outcomes of the other research done in this field. The relative performance of combined forecasts based on the RMSE weighting scheme are on average 33% better for 6-month ahead. Despite some individual models demonstrate better performance in certain time horizons, the overall results reveal that forecast combination method permits to reduce the forecast error in comparison with the aforementioned models taken separately.

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Short-term Inflation Forecast Combination Analysis for Uzbekistan

Khumoyun Usmanaliev
Khumoyun Usmanaliev

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