2016YinakaiWuPhD.pdf (1.71 MB)
Non-normality, uncertainty and inflation forecasting: an analysis of china’s inflation
thesis
posted on 2016-04-06, 15:37 authored by Yinkai WuEconomic 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, EmiDate of award
2016-03-18Author affiliation
Department of EconomicsAwarding institution
University of LeicesterQualification level
- Doctoral
Qualification name
- PhD