Improving forecasting in an emerging economy, South Africa

01 June 2012

International Journal of Forecasting Authors: Janine Aron and John Muellbauer, INET@Oxford

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Forecasting inflation is particularly challenging in emerging markets, where trade and monetary policy regimes have shifted and the exchange rate and food prices are highly volatile. This study shows that the information in long-run co-integrated relationships for relative prices in South Africa is helpful in outperforming univariate benchmark models for forecasting inflation.