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
Published inTorun Business Review (Online) Vol. 15; no. 1; pp. 25 - 33
Main Author Jarosław Krajewski
Format Journal Article
LanguageEnglish
Published WSB University in Torun 01.03.2016
Subjects
Dynamic Factor Model, Method of Principal Components, Inflation, Forecasting
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ISSN1643-8175
2451-0955
DOI10.19197/tbr.v15i1.36

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Summary: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.
ISSN:1643-8175
2451-0955
DOI:10.19197/tbr.v15i1.36