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Research On The China's Inflation Forecasting Based On The ARIMA Model

Posted on:2010-09-04Degree:MasterType:Thesis
Country:ChinaCandidate:R Y XiaFull Text:PDF
GTID:2189330338982445Subject:Finance
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After the 1990's, many central banks of developed countries give up the control of the money supply, directly or indirectly, and then turn to the implementation of inflation targeting, because of financial innovation makes the money supply more and more difficult to calculate during the past ten years , and the money supply And the relationship between inflation has become more and more instability. The emerging problems is the"speed of currency in circulation became instable". According to the Taylor rule, inflation forecasts became more and more important to policy-makers and the private sectors. The developed countries developed a new tool to control inflation -the inflation forecasts, especially in the countries which implemented inflation targeting. The central bank's decision-making became more and more dependent on future inflation, rather than in the past, some of the central bank takes forecast inflation as the intermediate goal of monetary policy. This set of technologies has yielded satisfactory results in the countries implemented of inflation targeting. The inflation forecasts for the development of the central bank have become a key monetary policy variables. So far, there are more than 20 countries have adopted inflation forecast mechanism. Some are developed, such as Australia, Britain, Canada, and so on, Some are developing countries: Brazil, Chile, Colombia, Mexico, the Czech Republic, Poland, Hungary, Korea, Philippines, Thailand, New Zealand, Iceland, Norway , Sudan and so on. Not all of them implemented inflation targeting.In this paper, based on the study of foreign scholars on the inflation forecast, We take qualitative and quantitative analysis to explore China's inflation forecast, as well as some of the inflation forecast models were compared, We employed monthly CPI data (from January 1990 to December 2008), plus the use of ARIMA model. The empirical results show that the ARIMA (1,1,10) model provide a better prediction for China's inflation, if the central lay down monetary policy bank according to the outcome of forecasts, monetary policy would help avoid the lag of the monetary policy. This will be helpful to guide and stabilize the expectation of market. Ultimately improve the effectiveness of monetary policy.
Keywords/Search Tags:Inflation, Forecasting, ARIMA Model
PDF Full Text Request
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