gwp 2022
DOI: 10.24149/gwp235r1
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Forecasting Inflation in Open Economies: What Can a NOEM Model DO?

Abstract: This paper evaluates the forecasting ability when inflation is viewed as an inherently global phenomenon through the lens of the workhorse New Open Economy Macro (NOEM) model. The NOEM model emphasizes the importance of cross-country spillovers arising through trade and its reduced form solution can be represented by a finite-order VAR which provides a tractable model of inflation forecasting. We use Bayesian techniques to estimate this VAR specification-we name it NOEM-BVAR-and pseudo-out-of-sample forecasts … Show more

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