Application of dynamic factor models for inflation forecasting in Poland

Application of dynamic factor models for inflation forecasting in Poland

The subject of this article is the application of dynamic factor models in modelling and forecasting inflation in Poland. It contains a brief description of the DFM tool. It also provides a glimpse at empirical forms of tools used to determine the forecasts and compares the forecasts using meters no...

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Bibliographic Details
Main Author: Jarosław Krajewski
Format: Article
Language:English
Published: WSB University in Torun 2016-03-01
Series:Torun Business Review
Subjects:
Dynamic Factor Model, Method of Principal Components, Inflation, Forecasting
Online Access:https://tbr.wsb.torun.pl/index.php/journal/article/view/36
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spelling doaj-f6b2f6fdcafd44b3948d3a56787d3c642020-11-24T22:51:32ZengWSB University in TorunTorun Business Review1643-81752451-09552016-03-01151253310.19197/tbr.v15i1.3626Application of dynamic factor models for inflation forecasting in PolandJarosław Krajewski0WSB w Toruniu ul. Młodzieżowa 31a 87-100 ToruńThe subject of this article is the application of dynamic factor models in modelling and forecasting inflation in Poland. It contains a brief description of the DFM tool. It also provides a glimpse at empirical forms of tools used to determine the forecasts and compares the forecasts using meters normally used for this purpose. The empirical analysis was carried out on the basis of a set of monthly data. The set consists of 70 variables from the period between January 2002 and March 2015.https://tbr.wsb.torun.pl/index.php/journal/article/view/36Dynamic Factor Model, Method of Principal Components, Inflation, Forecasting
collection DOAJ
language English
format Article
sources DOAJ
author Jarosław Krajewski
spellingShingle Jarosław Krajewski
Application of dynamic factor models for inflation forecasting in Poland
Torun Business Review
Dynamic Factor Model, Method of Principal Components, Inflation, Forecasting
author_facet Jarosław Krajewski
author_sort Jarosław Krajewski
title Application of dynamic factor models for inflation forecasting in Poland
title_short Application of dynamic factor models for inflation forecasting in Poland
title_full Application of dynamic factor models for inflation forecasting in Poland
title_fullStr Application of dynamic factor models for inflation forecasting in Poland
title_full_unstemmed Application of dynamic factor models for inflation forecasting in Poland
title_sort application of dynamic factor models for inflation forecasting in poland
publisher WSB University in Torun
series Torun Business Review
issn 1643-8175
2451-0955
publishDate 2016-03-01
description The subject of this article is the application of dynamic factor models in modelling and forecasting inflation in Poland. It contains a brief description of the DFM tool. It also provides a glimpse at empirical forms of tools used to determine the forecasts and compares the forecasts using meters normally used for this purpose. The empirical analysis was carried out on the basis of a set of monthly data. The set consists of 70 variables from the period between January 2002 and March 2015.
topic Dynamic Factor Model, Method of Principal Components, Inflation, Forecasting
url https://tbr.wsb.torun.pl/index.php/journal/article/view/36
work_keys_str_mv AT jarosławkrajewski applicationofdynamicfactormodelsforinflationforecastinginpoland
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