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Proyección de la inflación en Chile: una visión sectorial

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  • Jorge Fornero
  • Alberto Naudon

Abstract

We explore the advantages of using Phillips curves in the inflation forecast. To do this, we use conventional, flexible specifications that adjust the data from four definitions of inflation: headline, core (excluding foods and energy, EFE) and a partition of the latter into EFE goods and services. We design an out-of-sample projection exercise with moving windows to compare (statistically) the forecast errors of the Phillips curves and other control models. For headline inflation, we find that the time series models have a significantly lower forecast error. Core inflation forecasts using Phillips curves only 12 months out are significantly better. Finally, we show that the combined forecast method for EFE inflation based on the projections of EFE goods and services deliver even better forecasts 12 months out. At shorter horizons, the time series models do better.

Suggested Citation

  • Jorge Fornero & Alberto Naudon, 2016. "Proyección de la inflación en Chile: una visión sectorial," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 04-19, April.
    • Handle: RePEc:chb:bcchec:v:19:y:2016:i:1:p:04-19
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    Cited by:

    1. Camila Figueroa & Jorge Fornero & Pablo García, 2019. "Hindsight vs. Real time measurement of the output gap: Implications for the Phillips curve in the Chilean Case," Working Papers Central Bank of Chile 854, Central Bank of Chile.
    2. Luis Ceballos & Jorge A. Fornero & Andrés Gatty, 2017. "Nuevas estimaciones de la tasa real neutral de Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 120-143, December.

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