Time series modeling and forecasting of the consumer price index in Japan

NYONI, THABANI (2019): Time series modeling and forecasting of the consumer price index in Japan.

Abstract

This research uses annual time series data on CPI in Japan from 1960 to 2017, to model and forecast CPI using the Box – Jenkins ARIMA technique. Diagnostic tests indicate that the X series is I (1). The study presents the ARIMA (1, 1, 0) model for predicting CPI in Japan. The diagnostic tests further imply that the presented optimal model is actually stable and acceptable. The results of the study apparently show that CPI in Japan is likely to continue on an upwards trajectory in the next decade. The study basically encourages policy makers to make use of tight monetary and fiscal policy measures in order to control inflation in Japan.

• Item Type: MPRA Paper
• Language: English
• Keywords: Forecasting; inflation; Japan
• 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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