The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model

We compare inflation forecasts of a vector fractionally integrated autoregressive moving average (VARFIMA) model against standard forecasting models. U.S. inflation forecasts improve when controlling for persistence and economic policy uncertainty (EPU). Importantly, the VARFIMA model, comprising of inflation and EPU, outperforms commonly used inflation forecast models.

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Year of publication:	2014-10
Authors:	Balcilar, Mehmet ; Gupta, Rangan ; Jooste, Charl
Institutions:	Department of Economics, Faculty of Economic and Management Sciences
Subject:	Inflation \| long-range dependency \| economic policy uncertainty

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 201460 7 pages
Classification:	C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011095456