Jiří Šindelář, Petr Budinský
Inflation Forecasting and Targeting
Číslo: 3/2021
Periodikum: Statistika
Klíčová slova: Central bank, Inflation forecasting, Inflation targeting, Forecasting error
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Anotace:
This paper deals with inflation forecasting and targeting performance of selected Central and Eastern-European
central banks. Using battery of absolute and scaled forecasting errors along with significance tests, we have
evaluated inflation predictions on the optimal monetary policy transmission horizon (14–16 months), as well
as adherence to long-term inflation targets. Out of the evaluated Czech, Hungarian and Polish central banks,
complemented by the European Central Bank for comparison, it was found, that even though the bank´s
performance improved during the last decade, notably with the forecasting component, some issues are
still present. These are mostly connected to the inflation targeting mechanism, which was found to contain
systemic bias in the case of the Czech national bank, as well as failing in comparison with the naïve benchmark
in the case of the European Central Bank. Both outcomes pave the way for further investigation in a wider
economical context.
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central banks. Using battery of absolute and scaled forecasting errors along with significance tests, we have
evaluated inflation predictions on the optimal monetary policy transmission horizon (14–16 months), as well
as adherence to long-term inflation targets. Out of the evaluated Czech, Hungarian and Polish central banks,
complemented by the European Central Bank for comparison, it was found, that even though the bank´s
performance improved during the last decade, notably with the forecasting component, some issues are
still present. These are mostly connected to the inflation targeting mechanism, which was found to contain
systemic bias in the case of the Czech national bank, as well as failing in comparison with the naïve benchmark
in the case of the European Central Bank. Both outcomes pave the way for further investigation in a wider
economical context.