WHICH VARIABLES PREDICT INDONESIA'S INFLATION?

Susan Sunila Sharma

28 citations0/0 files storedBulletin of Monetary Economics and Banking

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Market Dynamics and Volatility

Abstract

We use an exhaustive list of Indonesia’s macroeconomic variables in a comparative analysis to determine which predictor variables are most important in forecasting Indonesia’s inflation rate. We use monthly time-series data for 30 macroeconomic variables. Using both in-sample and out-of-sample predictability evaluations, we report consistent evidence of inflation rate predictability using 11 out of 30 macroeconomic variables.

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References

2001Forecasting Output and Inflation: The Role of Asset Prices 2011Macroeconomic forecasting and structural change 2003Do financial variables help forecasting inflation and real activity in the euro area?2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility 2014Testing for Predictability in Conditionally Heteroskedastic Stock Returns 2018Can economic policy uncertainty predict stock returns? Global evidence 2012Does the choice of estimator matter when forecasting returns?1997Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices

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