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Working paper

A framework for forecasting the components of the Consumer Price Index

Alternative title:
application to South Africa
Abstract:

Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately and forecast, four quarters ahead. The method combines equilibrium correction models in a rich multivariate form with the use of stochastic trends estimated by the Kalman filter to capture structural ...

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Publication status:
Published
Peer review status:
Not peer reviewed

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Sub department:
CSAE
Research group:
Governance and Inflation Targeting in South Africa
Role:
Author
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Governance and Inflation Targeting in South Africa
Oxford college:
Nuffield College
Role:
Author
More by this author
Institution:
"South African Reserve Bank, Pretoria, South Africa"
Role:
Author
Series:
CSAE working paper series
Host title:
Conference "Growth, Poverty Reduction and Human Development in Africa", 21st to 22nd March, 2004
Place of publication:
http://www.csae.ox.ac.uk/workingpapers/main-wps.html
Publication date:
2004-01-01
Language:
English
Keywords:
Subjects:
UUID:
uuid:113ac4c7-36b9-473c-a119-8713248cb999
Local pid:
ora:2653
Deposit date:
2009-03-02

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