Semi-Structural Forecasting Model

Francisco Arroyo Marioli, Francisco Bullano, Jorge Fornero and Roberto Zúñiga

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: The semi-structural gap forecasting (MSEP) model is the new gap model used by the Central Bank of Chile to forecast key macroeconomics variables. This document provides the technical details of this model including equations, estimated parameters and transmission mechanisms. The model has been improved relative to its initial version along several dimensions: (i) The parameters have been estimated with Bayesian methods; (ii) it separates core inflation into tradable and non-tradable inflation, linking each component to fundamental drivers; (iii) it explicitly specifies the empirical relationships between terms of trade and real exchange rate. We found that for a typical monetary policy shocks there are similar effects in comparison with the former MEP model.

Date: 2020-01
New Economics Papers: this item is included in nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:866

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