Forecasting Monthly Inflation Rate: Application of ECM-MIDAS Model

Document Type : Original Article

Authors

1 Department of Economics, Faculty of Economics and Political Sciences, Shahid Beheshti University

2 Department of Economics, Faculty of Economics and Political Sciences, Shahid Beheshti University,

Abstract

This paper employs a mixed frequency error-correction model in order to forecast monthly inflation rate for variables sampled at different frequencies. It is shown that the precision of the model is confirmable according to out of sample predictions for months Mehr and Aban of 1395. The model is then used to predict the inflation rate of the month Azar of 1395 for which no data is released yet. The predicted inflation rate, after revising three times as new information become available through time, was turned out to be 8.8 percent.

Keywords

References

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