Thursday, February 22
Thu
Jul
20

Forecasting Core Inflation in India: A Four-Step Approach

Speakers:

Rishabh ChoudharyWorld Bank, Delhi

 
20
July,
2023
03:00 PM to 04:00 PM (IST)


Abstract:-
We propose a novel approach to forecasting core inflation in India, whose average contribution to headline inflation has been about 55 percent since January 2016. Our approach involves using the dis-aggregated components of core inflation, as well as the construction of a demand index using high frequency (HF) indicators. We find that individually forecasting and then aggregating core CPI components improves the short-term forecasting accuracy of core inflation. However, forecasting aggregate core inflation directly is more effective for longer horizons. We estimate a demand index using high frequency indicators. We find that the inclusion of the demand index and other co-variates enhances forecasting efficacy by capturing demand-side factors specific to the Indian economy. We also find that an accurate specification of the dis-aggregate components model contributes to maximizing prediction accuracy.

(joint with Chetan Ghate and Md. Arbaj Meman)

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Date & Time

20-07-2023
03:00 PM
to 04:00 PM (IST)

Location

IEG

Venue

A.M. Khusro Room

Event Type

IEG BROWN BAG SEMINAR SERIES

Event Category

Past event

Speaker(s)

Rishabh Choudhary

World Bank, Delhi

Moderator(s)

Sandhya Garg

Assistant Professor