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Bojaj, Martin M.
Maintaining price stability in Montenegro through governance of external and internal factors of inflation
Autorstvo-Nekomercijalno 3.0 Srbija (CC BY-NC 3.0)
Academic metadata
Phd. theses
Društveno-humanističke nauke
doktor nauka - ekonomske nauke
Univerzitet Crne Gore
Ekonomski fakultet
Studijski program Ekonomija
Other Theses Metadata
Održavanje stabilnosti cijena u Crnoj Gori kroz upravljanje spoljnim i unutrašnjim faktorima inflacije
[M. Bojaj]
PDF/A (277 pages)
Đurović, Gordana, 1964- (mentor)
Fabris, Nikola (član komisije)
Milović, Nikola, 1980- (član komisije)
The determinants of inflation are an essential question that macroeconomic policymakers in Montenegro have faced continually over the past decade, especially since 2002, following the euro's adoption as Montenegro's formal currency. This doctoral dissertation aims to theoretically and analytically research and then examine and forecast Montenegrin's inflation determinants empirically, using the forecast combination approach: from January 2006 to December 2016. Out-of-sample 12-month horizon forecasting is performed from January 2017 to December 2017.
The central research problem is that given the struggle macroprudential policymakers have had to define proper criteria to identify and diagnose the onset of inflation indicators, we felt compelled to identify an approach and methodology that the government of Montenegro can use in maintaining price stability within the accession process towards the European Union. We research three individual-predictor SVAR models to forecast inflation.
Combining three VAR and three Bayesian VAR (BVAR) models, we disclose four more VAR RMSEs: (i) two VAR equal and inverse MSE weights, and (ii) two more BVAR RMSEs. We find predicting sustainable performances: average inflation not higher than 1.5 p.p. above the three best performing Member states' average rate. The standard VAR combination performs the best forecasting for the quarter I and II of 2017, while the BVAR combination shows the best forecasting performance for quarters III and IV of 2017.
Our results allow the policymakers of Montenegro to understand the factors involved in identifying the onset of inflation dynamics and inflation expectations better and develop more effective state regulations and measures. In so doing, the findings advance and recommend the methodological tools needed, combining forecasts, to more efficiently combat the challenges of maintaining price stability by macroprudential policymakers in Montenegro.
Determinante inflacije su kriticno pitanje sa kojim su se makroekonomske politike u Crnoj Gori suocavale kontinuirano tokom protekle decenije, a posebno od 2002. godine, nakon usvajanja eura kao zvanicne valute Crne Gore. Cilj ove doktorske disertacije je da se teorijski i analiticki, a zatim i empirijski istraze i predvide determinante crnogorske inflacije, koristeci pristup kombinacija prognoza, od januara 2006. do decembra 2016. godine i van-uzorka 12-mjesecno predvidanje horizonta od januara 2017. do decembra 2017. godine.
S obzirom na veliki napor kreatora politika da definisu odgovarajuce kriterijume za dijagnostikovanje nastanka inflacionih indikatora, osjecali smo se obaveznim da, kao glavni problem istrazivanja, identifikujemo pristup i metodologiju koje Vlada Crne Gore moze koristiti za odrzavanje stabilnosti cijena, a u okviru procesa pristupanja Evropskoj uniji. Istrazujemo tri individualna-prediktora SVAR modela da bismo prognozirali inflaciju.
Kombinujuci navedena tri VAR i tri Bayesian VAR (BVAR) modela, otkrivamo jos cetri RMSE-a: (i) dvije VAR jednake i inverzne MSE tezine, i (ii) jos dva BVAR RMSE-a. Oni pokazuju performanse prognoziranja koja su odrziva: prosjecna inflacija ne visa od 1,5 p.p. iznad prosjecne stope tri drzave clanice sa najboljim performansama. Standardna VAR kombinacija daje najbolje predvidanje za I i II kvartal 2017. godine, dok Bayesian VAR kombinacija pokazuje najbolje performanse predvidanja za III i IV kvartal za 2017.
Nasi rezultati omogucavaju kreatorima politika Crne Gore da bolje razumiju faktore koji su ukljuceni u prepoznavanje dinamike inflacije i inflacionih ocekivanja i razviju efikasnije regualtivu i mjere. Na navedeni nacin, ovo istrazivanje unaprjeduje i preporucuje potrebne metodoloske alate, kombinujuci prognoze, kako bi se kreatori markoprudencijalnih politika u Crnoj Gori efikasnije borili sa izazovima odrzavanja stabilnosti cijena.
macroeconometric forecasting, inflation; BVAR combinations, Montenegro
makroekonomsko prognoziranje, inflacija, BVAR kombinacije, Crna Gora
336.748:330.43(497.16)(043.3)
English
18699780
Tekst.
The determinants of inflation are an essential question that macroeconomic policymakers in Montenegro have faced continually over the past decade, especially since 2002, following the euro's adoption as Montenegro's formal currency. This doctoral dissertation aims to theoretically and analytically research and then examine and forecast Montenegrin's inflation determinants empirically, using the forecast combination approach: from January 2006 to December 2016. Out-of-sample 12-month horizon forecasting is performed from January 2017 to December 2017.
The central research problem is that given the struggle macroprudential policymakers have had to define proper criteria to identify and diagnose the onset of inflation indicators, we felt compelled to identify an approach and methodology that the government of Montenegro can use in maintaining price stability within the accession process towards the European Union. We research three individual-predictor SVAR models to forecast inflation.
Combining three VAR and three Bayesian VAR (BVAR) models, we disclose four more VAR RMSEs: (i) two VAR equal and inverse MSE weights, and (ii) two more BVAR RMSEs. We find predicting sustainable performances: average inflation not higher than 1.5 p.p. above the three best performing Member states' average rate. The standard VAR combination performs the best forecasting for the quarter I and II of 2017, while the BVAR combination shows the best forecasting performance for quarters III and IV of 2017.
Our results allow the policymakers of Montenegro to understand the factors involved in identifying the onset of inflation dynamics and inflation expectations better and develop more effective state regulations and measures. In so doing, the findings advance and recommend the methodological tools needed, combining forecasts, to more efficiently combat the challenges of maintaining price stability by macroprudential policymakers in Montenegro.