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Forecasting Chilean Inflation in Difficult Times

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  • Juan Díaz
  • Gustavo Leyva

Abstract

In this paper we compare point and density forecasts generated by estimating AR and VAR models using disaggregated quarterly data of Chilean inflation. We motivate this comparison by our belief that, in the recent high inflation context, the use of the joint dynamics of the price index inflation of the consumer basket’s components renders multivariate model’s forecasts more useful than the forecasts constructed based on univariate models. We find supportive evidence for our belief only for the case of point forecasts.

Suggested Citation

  • Juan Díaz & Gustavo Leyva, 2008. "Forecasting Chilean Inflation in Difficult Times," Working Papers Central Bank of Chile 511, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:511
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    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_511.pdf
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    Cited by:

    1. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
    2. Hernando Vargas & Andrés González & Eliana González & José Vicente Romero & José Luis Eduardo Rojas, 2010. "Assessing inflationary pressures in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy and the measurement of inflation: prices, wages and expectations, volume 49, pages 129-171, Bank for International Settlements.
    3. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    4. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.

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