El escaso poder predictivo de simples curvas de Phillips en Chile

Brown, Pablo Pincheira; Hurtado, Hernán Rubio

doi:10.18356/33675a6d-es

Cited by 2 publications

(2 citation statements)

References 29 publications

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“…Atkeson and Ohanian (2001), Clark and McCracken (2006) and Stock and Watson (2008) are just a few examples of this regularity. For the case of Chile, Pincheira and Rubio (2010) have also reported a similar phenomenon suggesting that measures of domestic activity are not very good predictors for domestic inflation. In the second place, a few relatively recent articles report an important pass-through from some measures of industrialized international inflation to local inflation.…”

Section: Introductionmentioning

confidence: 91%

Forecasting Chilean inflation with international factors

Pincheira

Gatty²

2016

Empir Econ

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In this paper we build forecasts for Chilean year-on-year inflation using simple time-series models augmented with different measures of international inflation. Broadly speaking, we construct two families of international inflation factors. The first family is built using year-on-year inflation of 18 Latin American (LA) countries (excluding Chile). The second family is built using year-on-year inflation of 30 OECD countries (excluding Chile). We show sound in-sample and pseudo out-ofsample evidence indicating that these international factors do help forecast Chilean inflation at several horizons. Incorporating the international factors reduce the Root Mean Squared Prediction Error of pure univariate SARIMA models statistically speaking. We also show that the predictive pass-through from international to local inflation has increased in the recent years. As a final exercise we construct another international inflation factor as an average of the inflation of fifteen countries from which Chile gets a high percentage of its imports. With the aid of this factor the models outperform our univariate benchmarks but also underperform the results obtained with the broader factors built with LA or OECD countries, suggesting that imported inflation is not the only channel explaining our findings. ResumenEn este documento construimos pronósticos para la inflación anualizada en Chile utilizando simples modelos de series de tiempo expandidos con distintas medidas de inflación internacional. En términos generales utilizamos dos familias de factores internacionales de inflación. La primera familia es construida a partir de la inflación anualizada de 18 países de Latino América (excluyendo a Chile). La segunda familia es construida a partir de la inflación anualizada de 30 países de la OECD (excluyendo a Chile). Nuestros resultados muestran una sólida evidencia indicando que estos factores internacionales ayudan a predecir la inflación chilena a diferentes horizontes en ejercicios dentro como fuera de muestra. La incorporación de los factores internacionales ayuda a reducir la Raíz del Error Cuadrático Medio de pronóstico de los modelos SARIMA univariados en forma estadísticamente significativa. También mostramos que el traspaso predictivo desde inflación internacional a local ha crecido en los últimos años. Como ejercicio final, construimos otro factor internacional como un promedio de las inflaciones de quince países desde los cuales Chile obtiene un alto porcentaje de sus importaciones. Con la ayuda de este factor los modelos predicen mejor que nuestros marcos de referencia univariados pero predicen peor que con la ayuda de los factores  Acknowledgements: we are grateful to Claudio Raddatz, Michael Pedersen and Carlos Medel for their valuable comments.

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Section: Introductionmentioning

confidence: 91%

Forecasting Chilean inflation with international factors

Pincheira

Gatty²

2016

Empir Econ

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“…See, for instance, Stock and Watson (, ), Atkeson and Ohanian (), Canova (), Bánbura and Mirza (), Faust and Wright (), Pincheira and Rubio () and the references cited therein.…”

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confidence: 99%

The Elusive Predictive Ability of Global Inflation

Medel¹,

Pedersen²,

Pincheira

2016

International Finance

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In this paper we analyse the utility of international measures of inflation in predicting local ones. To that end, we consider a set of 31 OECD economies for which monthly inflation data are available. Three main conclusions emerge. First, there is an important share of countries for which relatively robust evidence of predictability is found for both core and headline inflation. Second, the share of countries for which there is evidence of robust predictability is about the same for core and headline inflation, although gains in root-mean-squared prediction error are higher for headline inflation. Third, while the evidence indicates that an international inflation factor may be a useful predictor for several countries, it also indicates that, for many Ã We thank the comments and suggestions of Claudio Raddatz and two anonymous referees. We also

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El escaso poder predictivo de simples curvas de Phillips en Chile

Cited by 2 publications

References 29 publications

Forecasting Chilean inflation with international factors

Forecasting Chilean inflation with international factors

The Elusive Predictive Ability of Global Inflation

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