Pregled bibliografske jedinice broj: 987757
Time Series Modeling of Inflation and its Volatility in Croatia
Time Series Modeling of Inflation and its Volatility in Croatia // Notitia - časopis za održivi razvoj, 3 (2017), 1; 1-9 doi:10.32676/n.3.1 (podatak o recenziji nije dostupan, članak, znanstveni)
CROSBI ID: 987757 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Time Series Modeling of Inflation and its Volatility in Croatia
Autori
Živko, Igor ; Bošnjak, Mile
Izvornik
Notitia - časopis za održivi razvoj (1849-9066) 3
(2017), 1;
1-9
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
CPI ; ARIMA ; ARCH ; Croatia
Sažetak
Croatian National Bank is not targeting inflation but exchange rate as the nominal anchor or intermediary goal of monetary policy and inflation in Croatia is a dominantly foreign driven phenomenon. Using monthly data on CPI in Croatia from January 1997 up to November 2015, ARIMA (0, 1, 1) x (0, 1, 1)12 model is fitted as the one describing CPI behavior pattern and therefore reliable for CPI forecasting. Furthermore, to establish its volatility pattern several ARCH family models are tested and ARCH (1) model is found to be the best fitted one in explaining CPI volatility development in Croatia.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
