Seyed Mahdi Barakchian; Hamed Atrianfar
Abstract
Inflation rate is one of the key macroeconomic variables that policymaking institutions and central banks in particular, need to forecast accurately for several periods ahead in order to make proper policies. Direct and iterated methods are two common techniques which are suggested in the literature ...
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Inflation rate is one of the key macroeconomic variables that policymaking institutions and central banks in particular, need to forecast accurately for several periods ahead in order to make proper policies. Direct and iterated methods are two common techniques which are suggested in the literature for multi-period forecasting. In this paper, using a wide range of quarterly economic variables we compare the performance of these two techniques in real time forecasting of inflation in Iran. The results show that as the forecast horizon increases, iterated method outperforms direct method. For the information criteria which select shorter lags (e.g. Schwarz criterion), direct method and iterated method performs better in short forecast horizons (1 and 2 periods ahead) and long forecast horizons (3 and 4 periods ahead), respectively, while for the information criteria which select longer lags (e.g. Akaike criterion), iterated method generally performs better, irrespective of the forecast horizon.
Hassan Heidari; Roghayyeh Alinezhad; Rana Asghari
Volume 19, Issue 60 , October 2014, , Pages 101-132
Abstract
This study investigates the effect of rule of law on inflation rate for the 16 selected MENA countries over the period of 1996-2012. The relationship between variables has been estimated by applying Panel Smooth Transition Regression (PSTR) model and using Non-linear Least Squares (NLS) method of estimation. ...
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This study investigates the effect of rule of law on inflation rate for the 16 selected MENA countries over the period of 1996-2012. The relationship between variables has been estimated by applying Panel Smooth Transition Regression (PSTR) model and using Non-linear Least Squares (NLS) method of estimation. Our results reject the linearity hypothesis, and indicate existence of one continuous transition function with two regimes that gives a threshold at rule of law index of -0.525. Moreover, the results show that the rule of law index, openness index and GDP per capita have negative impact on inflation rate in two regimes that the intensity of the negative impact of these variables increases in the second regime. On the other hand, government consumption expenditure and liquidity have a positive impact on inflation rate in two regimes; the intensity of their positive impact reduces in the second regime. Therefore, the actions such as creating innovative mechanisms for dispute resolution, stabilization in government's plans and objectives and no chain changes in policies enhance the rule of law levels and decrease the inflation rate in this group of countries.
