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Heuristics versus econometrics as a basis for forecasting international inflation differentials

机译：启发式与计量经济学作为预测国际通货膨胀差异的基础

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Purpose - This study aims to address the issue of prediction of inflation differences for an economy that considers either fixing its exchange rate or joining a currency union. In this setting, individual countries have limited control over their inflation, and anticipating the possible course of domestic inflation relative to inflation abroad becomes an important input in policy-making. In this context, the author compares simple forecast heuristics and econometric modeling. Design/methodology/approach - The study compares two basically different approaches. The first approach of forecasting consists of simple heuristics. Various heuristics are considered that differ with respect to the economic reasoning that goes into quantifying the forecast rules. The simplest such forecasting heuristic suggests that the average over all available observations of inflation differentials should be taken as a predictor for the future. Bringing more economic insight to bear suggests a further heuristic according to which historical inflation differentials should be adjusted for changes in the nominal exchange rate. A further variant of this approach suggests that a forecast should exclusively rely on data from earlier times under a pegged exchange rate. A fundamentally different approach to prediction builds on dynamic econometric models estimated by using all available historical data independent of the currency regime. Findings - The author studies three small member countries of the Eurozone, i.e. Finland, Luxembourg and Portugal. For the evaluation of the various forecasting strategies, he performs out-of-sample predictions over a horizon of five years. The comparison of the four different forecasting strategies documents that the variant of the forecast heuristic that draws on data from earlier experiences under fixed exchange rates performs better than the forecast based on the estimated econometric model. Practical implications - The findings of this study provide helpful guidelines for countries considering either joining a currency union or fixing their exchange rate. The author shows that a simple forecasting heuristic gives sound advice for assessing the likely course of inflation. Originality/value - This study describes how economic theory can guide the selection of historical data for assessing likely future developments. The analysis shows that using a simple heuristic based on historical analogy can lead to better forecasts than the analytically more sophisticated approach of econometric modeling.
机译：目的-这项研究旨在解决考虑固定汇率或加入货币联盟的经济体的通胀差异预测问题。在这种情况下，各个国家对其通货膨胀的控制有限，并且预期国内通货膨胀相对于国外通货膨胀的可能路线成为决策的重要输入。在这种情况下，作者比较了简单的预测试探法和计量经济学模型。设计/方法/方法-该研究比较了两种基本不同的方法。预测的第一种方法包括简单的启发式。在量化预测规则的经济推理方面，考虑了各种启发式方法。最简单的这种预测启发法表明，应将所有可用的通货膨胀差异观察值的平均值作为未来的预测指标。运用更多的经济见解建议进一步启发，根据名义汇率的变化调整历史通胀差异。此方法的另一种变体建议，在固定汇率的情况下，预测应完全依赖较早时期的数据。根本不同的预测方法基于动态计量经济学模型，该模型通过使用所有独立于货币制度的可用历史数据进行估算。调查结果-作者研究了欧元区的三个小成员国，即芬兰，卢森堡和葡萄牙。为了评估各种预测策略，他在五年的时间范围内执行了样本外预测。四种不同的预测策略的比较表明，在固定汇率下借鉴早期经验数据的预测启发式变量的效果要好于基于估计的计量经济学模型的预测。实际意义-这项研究的结果为考虑加入货币联盟或确定汇率的国家提供了有用的指导。作者表明，简单的预测启发式方法可以为评估通货膨胀的可能过程提供合理的建议。原创性/价值-这项研究描述了经济理论如何指导历史数据的选择，以评估可能的未来发展。分析表明，与经济计量模型的分析更复杂的方法相比，使用基于历史类比的简单启发法可以带来更好的预测。

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