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