A forecasting the consumer price index using time series model

Abstract

This article examines the behavior of the consumer price index in Ukraine for the period from January 2010 to September 2020. The characteristics of the initial time series, the analysis of autocorrelation functions made it possible to reveal the tendency of their development and the presence of annual seasonality. To model the behavior of the consumer price index and forecast for the next months, two types of models were used: the additive ARIMA*ARIMAS model, better known as the model of Box-Jenkins and the exponential smoothing model with the seasonality estimate of Holt-Winters. As a result of using the STATISTICA package, the most adequate models were built, reflecting the monthly dynamics of the consumer price index in Ukraine. The inflation forecast was carried out on the basis of the Holt-Winters model, which has a minimum error.

The Economic-Social Influences of the Consumer Price Index: The Case of Post-Communist Romania

“…On the other hand, other works in the literature show a negative relationship between the consumer price index and economic growth, as we find in the study from China presented by Pan, L.; Amin, A.; Zhu, N.; Chandio, A.A.; Naminse, E.Y. ; Shah, A.H. (2021). For example, an extensive study carried out for a sample of 140 countries, carried out by Khan and Senhadji (2001), shows that with the increase in the consumer price index, a negative effect of economic growth is found.…”

“…Kaysher Hamid, Rowshonara Akter Akhi (2019) which investigates the impact of macroeconomic variables on the economic growth of Bangladesh; Uzma Khan, Arif Mohammad Khan, Md. Shabbir Alam, Nauf AlKatheeri (2022) which examine the causation between consumption, export, import, and economic growth for the Sultanate of Oman using yearly time series data collected from the World Bank for 2000-2018; Asma Fiaz, Nabila Khurshid, Ahsan ul Haq Satti (2022) which assesses the impact of macroeconomic variables on Pakistan's economic growth, Labor Productivity -Guzel Salimova, Alisa Ableeva, Aygul Galimova, Ramzilya Bakirova, Tatiana Lubova, Aidar Sharafutdinov, Irek Araslanbaev (2021) which study and analysis productivity of the labor force in agriculture as an important industry for ensuring the sustainable development of the country; Geert Woltjer, Michiel van Galen & Katja Logatcheva (2021) which examines the relationship between firm-level innovation and employment growth for industrial firms in the Netherlands, Capital Investment -Nicolas Crouzet Janice C. Eberly (2019); Vanja Grozdić, Marić Branislav, Radišić Mladen, Jarmila Šebestová, Marcin Lis (2020) which examines the effects of capital investment on firm performance using panel data analysis; Sharif N. Ahkam, Khairul Alom (2019) which investigates the relationship between current ratio, the level of investment in working capital, and profitability of firms in Bangladesh for the years 1998-2014, Gross Salary and Net Salary -Emilia Herman (2020) which empirical investigate the labour productivity-wages nexus in the Romanian manufacturing industry; Çiğdem Ekiz (2022); Suhányi Ladislav, Alžbeta Suhányiová, Jaroslava Kádárová, Jaroslava Janeková (2023) which emphasizes the significance and importance of the manufacturing sector in the countries' economy. The dependent and independent variables are provided in Table 1.…”

“…Many researchers, Volodymyr Shinkarenko, Alexey Hostryk, Larysa Shynkarenko, Leonid Dolinskyi (2021); Chaitanya Singla, Pradeepta Kumar Sarangi, Sunny Singh, Ashok Kumar Sahoo (2019); Adi Widya Prayogo, Tri Haryanto (2020); Hossein Hassani, Emmanuel Sirimal Silva (2018) see the consumer price index as a more efficient way of calculating the inflation rate, as well as a weighted average of the prices of an exhaustive list of goods in the economy. Therefore, the consumer price index covers monetary expenditure on goods and services for final consumption, for all types of resident households, except for institutional households, in order to provide the most relevant and accurate picture of inflation.…”

“…The research works on the correlation of the consumer price index and economic growth present approaches that can be divided into two categories. The first category refers to the positive correlation where Mallik and Chowdhury (2001) through empirical research found that in Bangladesh, Pakistan, India and Sri Lanka there is a positive and significant relationship between inflation and economic growth, and Muhammad Nasir, Lianti Lianti, Muhammad Syuib, Hamdani Hamdani, Safaruddin Safaruddin (2021) identified the positive relationship between the two indicators also in Indonesia. In a study from the year 2004, Sweidan (2004) following the investigations carried out in the analysis of the exposed correlation, found that in Jordan there is a significant relationship between the two variables under analysis.…”

The Dynamics of Trade Relations between Ukraine and Romania: Modelling and Forecasting

“…In the studies (Ahmed, 2017;Dvorakova, 2017;Dritsaki, 2021;Eissa, 2020;Ghazo, 2021), the dynamics of the GDP in various countries was studied and predicted. The time series methodology (with diverse variations) was used to simulate and forecast inflation dynamics by the following scholas: Alderite (2020), Ahmed (2021), Dadyan (2020), Shinkarenko (2021). The ARIMA model was used by Kayikci (2020) to forecast ice evolution in the polar seas.…”