The Journal of Economic Studies and Policies

The Journal of Economic Studies and Policies

Structural Breaks and Modeling Behavior of Inflation-Comparison between Nonlinear and Time Varying Models

Document Type : Original Article

Authors
1 Assistant Professor, Faculty of Economics and Management, Sharif University of Technology
2 Researcher, Modeling Group, Monetary and Banking Research Institute
Abstract
In this paper, Using CPI data from 1990 to 2011, it is showed that Iranian inflation series has been encountered with structural breaks. Then, it is showed that time-varying parameter models can explain the behavior of Iranian inflation, but nonlinear model cannot. Also, investigating the performance of out-of-sample forecasting shows that the performance of time-varying parameter model is slightly better than benchmark AR model in all forecast horizons, although this difference is not significant, but the nonlinear model in all forecast horizons does not have better performance than our benchmark model. So, although modeling inflation by time-varying models can explain the behavior of inflation, but it cannot help forecast inflation.
Keywords

الف- فارسی

 
1-برکچیان، سید. مهدی؛ کرمی، هومن؛ بیات، سعید؛ «پیش‌بینی تورم ایران به روش مدل خودرگرسیون برداری تفاضلی»، مقاله در حال انجام، 1391.
2-بهبودی، داود؛ شیبانی، امینه؛ کماسی، مهدی؛ مدل‌سازی و پیش‌بینی نرخ تورم در اقتصاد ایران (بررسی مقایسه‌ای قدرت پیش‌بینی شبکه‌های عصبی - مصنوعی المان و پس انتشار خطا)، چهارمین کنفرانس ملی تحلیل پوششی داده‌ها، 1391.
3-مشیری، سعید؛ «پیش‌بینی تورم ایران با استفاده از مدل‌های ساختاری، سری‌های زمانی و شبکه‌های عصبی»، مجله تحقیقات اقتصادی، 1380، شماره 58.

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