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Multi-sector inflation forecasting – quarterly models for South Africa.

Abstract:

Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates), are modeled separately and forecast, four-quarters-ahead. Equilibrium correction models in a rich multivariate form employ general and sectoral information, and take account of structural breaks and institutional changes. Our methods allow for longer lag...

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Authors


Janine Aron More by this author
John N. J. Muellbauer More by this author
Volume:
WPS/2008-27
Series:
Working Paper Series
Publication date:
2008
URN:
uuid:bf845397-010e-4c5b-b8b4-2d76b7be1be4
Local pid:
oai:economics.ouls.ox.ac.uk:13193
Language:
English

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