Forecasting Inflation in China

17 Pages Posted: 17 Apr 2008  

Aaron N. Mehrotra

Bank for International Settlements (BIS)

José R. Sánchez-Fung

Kingston University - School of Economics

Date Written: January 27, 2008

Abstract

This paper forecasts inflation in China over a 12-month horizon. The analysis runs 15 alternative models and finds that only those considering many predictors via a principal component display a better relative forecasting performance than the univariate benchmark.

Keywords: inflation forecasting, data-rich environment, principal components, China

JEL Classification: C53, E31

Suggested Citation

Mehrotra, Aaron N. and Sánchez-Fung, José R., Forecasting Inflation in China (January 27, 2008). BOFIT Discussion Paper No. 2/2008. Available at SSRN: https://ssrn.com/abstract=1121762 or http://dx.doi.org/10.2139/ssrn.1121762

Aaron N. Mehrotra (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

José R. Sánchez-Fung

Kingston University - School of Economics ( email )

Penrhyn Road
Kingston-upon-Thames
Surrey, KT1 2EE
United Kingdom

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