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Research On China's Inflation Forecast Based On ARIMA And Expected Indicators

Posted on:2018-10-30Degree:MasterType:Thesis
Country:ChinaCandidate:X P ZhaoFull Text:PDF
GTID:2359330533461705Subject:Western economics
Abstract/Summary:PDF Full Text Request
To implement the monetary policy of the central bank effectively and to avoid the risk of inflation rationally for enterprises and families,it needs to accurately forecast the inflation.As the mechanism of inflation is very complex,the forecast of inflation should include scientific and artistry.Firstly,we use the highly scientific ARIMA model to forecast the inflation.Based on the monthly and quarterly CPI data from 2008 to 2015,the ARIMA model is built,and the intra forecast is made which is compared with the real data.The mean square forecast error,the average absolute forecast error and the average correct forecast direction are used to test the forecast accuracy of the monthly and quarterly inflation.Secondly,the strongly artistic method of the expected indicator is used to forecast CPI.Four typical expected indicators of inflation are chosen and three forecast accuracy indicators are used.It is found that the forecast accuracy of the CPI expected indicator of Wind and the weighted average index of long Run forecast is higher and could forecast monthly and quarterly inflation effectively.Finally,based on the method of the expected indicator and ARIMA model,a scientific and artistic combination forecasting model is built to forecast the monthly and quarterly inflation.The forecast accuracy of the expected index method,ARIMA model and combined forecasting model are compared by using three forecast accuracy indexes.It is found that the forecast accuracy of the combined forecasting model is highest,and the forecast accuracy of the expected indicator method is intermediate.Suggestions are put forward as follows: First,the big data technology should be used for inflation data mining to improve the quality of data needed for inflation forecasting.Second,the central bank should build semi-annual and annual expected inflation indicator because the monetary policy takes mainly effect after six months and use the combination forecasting model to forecast inflation.Third,the expected inflation indicator can be used by small-medium enterprises and families to forecast inflation.
Keywords/Search Tags:Inflation, Expected Index, ARIMA Model, Combined Forecasting Model, Forecast Accuracy
PDF Full Text Request
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