Forecasting Chilean inflation with international factors

Pablo Pincheira and Andres Gatty ()

Empirical Economics, 2016, vol. 51, issue 3, No 6, 1010 pages

Abstract: Abstract In this paper we build forecasts for Chilean year-on-year inflation using both multivariate and univariate time series models augmented with different measures of international inflation. We consider two versions of international inflation factors. The first version is built using year-on-year inflation of 18 Latin American countries (excluding Chile). The second version is built using year-on-year inflation of 30 OECD countries (excluding Chile). We show sound in-sample and pseudo out-of-sample evidence indicating that these international factors do help forecast Chilean inflation at several horizons by reducing the root-mean squared prediction error of our benchmarks models. Our results are robust to a number of sensitivity analyses. Several transmission channels from international to domestic inflation are also discussed. Finally, we provide some comments about the implications of our findings for the conduction of domestic monetary policy.

Keywords: Inflation; Forecasting; Time series (search for similar items in EconPapers)
JEL-codes: E31 E32 E37 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-015-1041-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Forecasting Chilean Inflation with International Factors (2014)
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:spr:empeco:v:51:y:2016:i:3:d:10.1007_s00181-015-1041-9

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-015-1041-9

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().