Un Análisis de la Capacidad Predictiva del Precio del Cobre sobre la Inflación Global

Carlos A. Medel ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this article, I use a family of time-series models to compare the predictive ability between an ad hoc global inflation factor and the copper price when forecasting domestic inflation of a sample of 53 countries. Furthermore, I analise the forecasting ability that the price of copper could provide combined with the global inflation factor and, finally, over the oil price for a monthly sample covering 1995-2013. The countries belong to two groups: the Organisation for Co-operation and Development (OECD) and the Centre for Latin American Monetary Studies (CEMLA). The results indicate that the copper price show modest predictive gains compared to the forecast made without any factor augmentation for the majority of analised countries. When analysing the number of times in which the copper price deliver more accurate forecasts than those based on inflation factor, it is found that occur in a low 9, 17, and 28% of cases when predicting at one-, 12-, and 24-months ahead. Hence, when the copper price actually improves forecast accuracy, it is observed in the long run. It is discovered as well that when copper price helps, it is for Caribbean CEMLA countries. The information provided by oil price over inflation factor and copper price enhances forecast accuracy mainly in the long run, and for South American CEMLA countries gains are of a modest magnitude. These results are important since the information that a commodity price contains on future domestic inflation dynamics is of vital importance for policymakers, especially those concerned with imported inflation.

Date: 2016-05
New Economics Papers: this item is included in nep-mac
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Journal Article: Un análisis de la capacidad predictiva del precio del cobre sobre la inflación global (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:786

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