in forecasting future inflation. We find that non-linear models have trivial forecast superiority over the univariate … central forecast accuracy which is in line with the previous literature on Azerbaijan during the post-oil boom years. However …

In this study, we build and use a factor-augmented vector autoregressive (FAVAR) model to forecast inflation and output … in Azerbaijan. The FAVAR model is particularly effective in data-rich environments, alleviating the curse of … better forecasters of some macroeconomic variables, especially inflation. We acknowledge that the results might be affected …