University of Leicester
Browse
2016YinakaiWuPhD.pdf (1.71 MB)

Non-normality, uncertainty and inflation forecasting: an analysis of china’s inflation

Download (1.71 MB)
thesis
posted on 2016-04-06, 15:37 authored by Yinkai Wu
Economic forecasting is important because it can affect the decision making processes of individuals, firms and governments so as to affect their behaviours. In this thesis, I discuss different methodologies for forecasting and forecast evaluation. I also discuss the role of assumption of normality and the role of uncertainty in economic forecasting. The first chapter is the introduction of the thesis. In second chapter, I conduct a Monte Carlo simulation to investigate the performances of forecast combination and the forecast encompassing test under the forecast errors non-normality. In third chapter, I examines the relationship between inflation forecast uncertainties and macroeconomic uncertainty for China by using different measures of uncertainties. I also investigate the relationship between inflation forecast uncertainties and inflation itself. In fourth chapter, I compute the probabilities of deflation for China by applying density forecast based on the theories and methodologies from previous two chapters. Particularly, I construct density forecasts for different forecast horizons by a joint distribution using Student-t copula. The fifth chapter is conclusion.

History

Supervisor(s)

Charemza, Wojciech; Mise, Emi

Date of award

2016-03-18

Author affiliation

Department of Economics

Awarding institution

University of Leicester

Qualification level

  • Doctoral

Qualification name

  • PhD

Language

en

Usage metrics

    University of Leicester Theses

    Categories

    No categories selected

    Keywords

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC