Publication:
Forecasting Inflation in Malaysia

Simple item page
dc.contributor.authorDuasa, Jen_US
dc.contributor.authorAhmad, Nen_US
dc.contributor.authorIbrahim, MHen_US
dc.contributor.authorZainal, MPen_US
dc.date.accessioned2024-05-29T02:50:34Z
dc.date.available2024-05-29T02:50:34Z
dc.date.issued2010
dc.description.abstractThis paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the variance decomposition of each indicator and Granger causality between each indicator and inflation. We propose that a simple model using an aggregation of indices improves the accuracy of inflation forecasts. The results support our hypothesis. Copyright (C) 2009 John Wiley & Sons, Ltd.
dc.identifier.doi10.1002/for.1154
dc.identifier.epage594
dc.identifier.issn0277-6693
dc.identifier.issue6
dc.identifier.scopusWOS:000281290100005
dc.identifier.spage573
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/11079
dc.identifier.volume29
dc.languageEnglish
dc.language.isoen_US
dc.publisherJohn Wiley & Sons Ltden_US
dc.relation.ispartofJournal Of Forecasting
dc.sourceWeb Of Science (ISI)
dc.subjectinflation forecasteren_US
dc.subjectVECM modelen_US
dc.subjectMalaysian economyen_US
dc.titleForecasting Inflation in Malaysia
dc.typeArticleen_US
dspace.entity.typePublication

Files

Collections

Web of Science_WoS