odeling and Forecasting Iranian Inflation with TimeVarying BVAR Models

This paper investigates the forecasting peiformance of dwerent time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman quote s priorcompared with a time-vaiying BVAR model (a version introduced by Doan et al., 1984); and a modylquote ied time-varying BVAR model, where the autoregressive coejficients are held constant and onbz the deterministic components are allowed to vaiy over time Application using quarterbz data of the Iranian economy from 1981. b7Q2 to 2006. b7Q1 shows that the peiformance of dyferent specylquote ications of time-varying BVAR models for forecasting inflation depends on the number of lags, hyper parameter that controls time variation, and forecast horizons. Our results, however, show that the modylquote ied time varying BVAR model peiforms much better than other models regardless of the factors above

کلیدواژه ها:

Inflation ، BVAR Model ، Iranian economy