Neural Network Models for Inflation Forecasting: An Appraisal

M. Ali Choudhary (1)

1 Economics

We assess the power of diverse artificial neural-network models (ANN) as forecasting tools for monthly inflation rates for 28 OECD countries. In the context of short out-of-sample forecasting horizon we find that, on average, the ANN models were a superior predictor for inflation for 45% while the AR1 model performed better for 23% of the countries. Furthermore, we develop arithmetic combinations of several ANN models and find that these may also serve as credible tools for forecasting inflation.

Mots clés: Social Sciences & Humanities

Domaines: Économie et finance quantitative [q-fin]

M. Ali Choudhary. Neural Network Models for Inflation Forecasting: An Appraisal. Applied Economics, 2011, pp.1. ⟨10.1080/00036846.2011.566190⟩. ⟨hal-00704670⟩