ARIMA modeling and forecasting of inflation in Egypt (1960-2017)

NYONI, THABANI (2019): ARIMA modeling and forecasting of inflation in Egypt (1960-2017).

Abstract

This research uses annual time series data on inflation rates in Egypt from 1960 to 2017, to model and forecast inflation using ARIMA models. Diagnostic tests indicate that E is I(1). The study presents the ARIMA (0, 1, 1). The diagnostic tests further imply that the presented optimal ARIMA (0, 1, 1) model is stable and acceptable for predicting inflation in Egypt. The results of the study apparently show that E will be approximately 23.3% over the out-of-sample forecast period. The CBE is expected to continue tightening Egypt’s monetary policy in order to restore price stability.

• Item Type: MPRA Paper
• Language: English
• Keywords: Egypt; forecasting; inflation
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E47 - Forecasting and Simulation: Models and Applications

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