Forecasting annual inflation with power transformations : the case of inflation targeting countries

Borradores de Economia
Number: 
756
Published: 
Classification JEL: 
C22, C52
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

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This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as t