Forecasting Chilean Inflation in Difficult Times

Juan Díaz and Gustavo Leyva ()

Working Papers Central Bank of Chile from Central Bank of Chile

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.

Date: 2008-12
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:511

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