2015 | 11 | 1 | 51-63
Article title

Forecasting inflation in Montenegro using univariate time series models

Title variants
Languages of publication
The analysis of price trends and their prognosis is one of the key tasks of the economic authorities in each country. Due to the nature of the Montenegrin economy as small and open economy with euro as currency, forecasting inflation is very specific which is more difficult due to low quality of the data. This paper analyzes the utility and applicability of univariate time series models for forecasting price index in Montenegro. Data analysis of key macroeconomic movements in previous decades indicates the presence of many possible determinants that could influence forecasting result. This paper concludes that the forecasting models (ARIMA) based only on its own previous values cannot adequately cover the key factors that determine the price level in the future, probably because of the existence of numerous external factors that influence the price movement in Montenegro.
Physical description
  • Enders, W., 2004. Applied econometric time series,Jonh Wiley & Sons, Inc., Hoboken, New Jersey
  • Gujarati, D., 2003. Basic econometrics, McGraw-Hill, London
  • Jovičić, M., Dragutinovć-Mitrović, R., 2011. Ekonometrijskimetodi i modeli, Beograd: CIDEF
  • Kalezić, Z., Cerović S.,Božović, B., 2007. "Prognoziranje inflacije: Empirijsko istraživanje kretanja indeksa cijena na malo u Crnoj Gori za 2007. godinu - primjena ARIMA modela".Working paper No.11, Central bank of Montenegro, CBMN ( accessed on 16.05.2014)
  • Kovačić, Z., 1995. Analizavremenskihserija, Ekonomskifakultet, Beograd
  • Krušec, D., 2007. "Short term inflation projections for Slovenia: comparing factor models with AR and VAR models", Prikazi in analize XIV/1 (may 2007), Ljubljana ( accessed on 10.02.2013)
  • Meyler, A., Terry, Q., 1998. "Forecasting Irish inflation using ARIMA models", MPRA Paper 11359, University Library of Munich, Germany
  • Mladenović, Z., Nojković, A., 2012. Primijenjena analiza vremenskih serija, Beograd: CIDEF
  • Pufnik, A.,Kunovac, D., 2006. "Kratkoročno prognoziranje inflacije u Hrvatskoj korištenjem sezonskih ARIMA procesa", Istraživanja, I-18, Croatian National Bank. ( accessed on 10.02.2013)
  • Salam, M., Ferudin M., 2006."Forecasting inflation in developing nations: The case of Pakistan", International Research Journal of Finance and Economics, No.3, pp.138-159
  • Sekine, T., 2001."Modeling and forecasting inflation in Japan", IMF Working Papers 01/82, International Monetary Fund ( accessed on 14.03.2012)
  • Stockton, D. J., Glassman, J.I., 1987. "An evaluation of the forecasting performance of alternative models of inflation", The Review of Economics and Statistics, pp.108-117,
  • Stoviček, K., 2007. "Forecasting with AMA models: the case of Slovenian inflation", Prikazi in analize XIV/1 (may 2007), Ljubljana ( accessed on 10.02.2013)
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.