EconPapers    
Economics at your fingertips  
 

Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy

Carlos A. Medel ()

Journal Economía Chilena (The Chilean Economy), 2017, vol. 20, issue 3, 004-050

Abstract: This article analyses the multi-horizon predictive power of the Hybrid New Keynesian Phillips Curve (HNKPC) covering the period from January 2000 to December 2014, for the Chilean economy. A distinctive feature of this article is the use of a Global Vector Autoregression (GVAR) specification of the HNKPC to enforce an open economy version. Another feature is the use of direct measures of inflation expectations—Consensus Forecasts—differing from a fully-founded rational expectations model. The HNKPC point forecasts are evaluated using the Mean Squared Forecast Error statistic and statistically compared with several benchmarks, including combined forecasts. The results indicate that there is evidence not to reject the hypothesis of the HNKPC for the Chilean economy, and it is also robust to alternative specifications. Outof- sample results are mixed between atheoretical benchmarks and the HNKPC by itself or participating in a combined prediction with the random walk. This combined forecast delivers the most accurate forecasts at horizons comprised within a year; whereas, in the long run is not accurate enough to outperform the statistical models.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://si2.bcentral.cl/public/pdf/revista-economia ... n3_dic2017_p4-50.pdf (application/pdf)

Related works:
Working Paper: Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy (2017) Downloads
Working Paper: Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchec:v:20:y:2017:i:3:p:004-050

Access Statistics for this article

Journal Economía Chilena (The Chilean Economy) is currently edited by Roberto Alvarez, Miguel Fuentes and Claudio Raddatz

More articles in Journal Economía Chilena (The Chilean Economy) from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Claudio Sepulveda ().

 
Page updated 2019-06-12
Handle: RePEc:chb:bcchec:v:20:y:2017:i:3:p:004-050