unemployment rate on inflation is not fundamentally different over time. Finally, a conditional forecasting exercise suggests that …

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting … forecasting ability of the different models with that of naïve ones. We find that for all forecast horizons simple naïve models … have equal forecasting ability with relatively sophisticated models which allow for richer economic dynamics. To check …

excluding the high inflation episode. Consequently, we also conducted an out-of-sample forecasting exercise. The VECM yields the … best results forecasting up to three months ahead, while thereafter, the FAVAR, which includes more economic information …