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Modelling and forecasting the inflation rate in Romania in the post-pandemic period. A comparative analysis of different univariate and multivariate forecasting methods
Keywords
Inflation, SARIMA, VAR, forecasting, time series
Abstract
The pandemic context triggered globally affected Romania from several points of view including an inflationary wave, observed throughout Europe, reaching in November, an annual level of 7.8%. Given this context, as well as that of the outbreak of the war between Russia and Ukraine, the main purpose of this paper is to model and forecast the inflation rate in Romania based on univariate forecast models, such as SARIMA, the Holt-Winters exponential smoothing model, ETS model, but also based on multivariate models, such as the VAR model. To identify the most appropriate model to forecast future inflation rate values, it was taken into account the period January 2000 - December 2021.