Bige KÜÇÜKEFE

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Forecasting Inflation Using Summary Statistics of Survey Expectations: A Machine-Learning Approach

This paper aims to produce more accurate short-term inflation forecasts based on surveys of expectations by employing machine-learning algorithms. By treating inflation forecasting as an estimation problem consisting of a label (inflation) and features (summary statistics of surveys of expectations data), we train a suite of machine-learning models, namely, Linear Regression, Bayesian Ridge Regression, Kernel Ridge Regression, Random Forests Regression, and Support Vector Machines, to forecast the consumer-price inflation (CPI) in Turkey. We employ the Time Series Cross Validation Procedure to ensure that the training data exclude forecast horizon data. Our results indicate that these machine-learning algorithms outperform the official forecasts of the Central Bank of Turkey (CBT) and a univariate model.
Anahtar Kelimeler:

Machine learning, forecast evaluation, inflation forecasting, surveys of expectations, summary statistics

Forecasting Inflation Using Summary Statistics of Survey Expectations: A Machine-Learning Approach

This paper aims to produce more accurate short-term inflation forecasts based on surveys of expectations by employing machine-learning algorithms. By treating inflation forecasting as an estimation problem consisting of a label (inflation) and features (summary statistics of surveys of expectations data), we train a suite of machine-learning models, namely, Linear Regression, Bayesian Ridge Regression, Kernel Ridge Regression, Random Forests Regression, and Support Vector Machines, to forecast the consumer-price inflation (CPI) in Turkey. We employ the Time Series Cross Validation Procedure to ensure that the training data exclude forecast horizon data. Our results indicate that these machine-learning algorithms outperform the official forecasts of the Central Bank of Turkey (CBT) and a univariate model.
Keywords:

Machine learning, forecast evaluation, inflation forecasting, surveys of expectations, summary statistics,

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Ekonomi-tek-Cover
  • ISSN: 2146-6173
  • Yayın Aralığı: Yılda 3 Sayı
  • Başlangıç: 2012
  • Yayıncı: Türkiye Ekonomi Kurumu Vakfı
Arşiv
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Forecasting Inflation Using Summary Statistics of Survey Expectations: A Machine-Learning Approach

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