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Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo

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  • Héctor Mauricio Nuñez Amortegui

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Abstract

Based on the understanding of inflation forecasts as an intermediate policy objective, this paper evaluates forecasts of different inflation models in Colombia during the inflation targeting (IT) period. The evaluation is done using three different statistical methodologies. The results suggest that the best models, in terms of precision, are the Food´s Relative Price and the traditional P* models. Additionally, a multiplier analysis is performed over these models, in which the sensitivity of short and medium term forecasts to shocks in the exogenous variables is assessed

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Bibliographic Info

Article provided by UNIVERSIDAD DEL ROSARIO in its journal REVISTA DE ECONOMÍA DEL ROSARIO.

Volume (Year): (2005)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000151:003709

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Keywords: inflación objetivo; pronósticos de inflación; pruebas para evaluación de pronósticos; análisis de multiplicadores;

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  2. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083, April.
  3. Munir A. Jalil & Luis Fernando Melo, . "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  4. Elkin Castaño V. & Luis Fernando Melo Velandia, 1998. "Métodos De Combinación De Pronósticos:Una Aplicación A La Inflación Colombiana," BORRADORES DE ECONOMIA 003212, BANCO DE LA REPÚBLICA.
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  7. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, September.
  8. Martha Misas Arango & Enrique López Enciso & Pablo Querubín Borrero, 2002. "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," BORRADORES DE ECONOMIA 003029, BANCO DE LA REPÚBLICA.
  9. Ray C. Fair & Robert J. Shiller, 1988. "The Informational Content of Ex Ante Forecasts," NBER Working Papers 2503, National Bureau of Economic Research, Inc.
  10. Luis Fernando melo V. & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a traves de Minimos Cuadrados Flexibles," Borradores de Economia 282, Banco de la Republica de Colombia.
  11. Ball, Laurence & Mankiw, N Gregory, 1995. "Relative-Price Changes as Aggregate Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 161-93, February.
  12. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
  13. Luis Eduardo Arango, 1999. "Componentes no observados de la inflación en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  14. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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  16. Goodfriend, Marvin, 1997. "A framework for the analysis of moderate inflations," Journal of Monetary Economics, Elsevier, vol. 39(1), pages 45-65, June.
  17. Luis Fernando Melo & Martha Misas, . "Análisis del Comportamiento de la Inflación Trimestral en Colombia Bajo Cambios de Régimen: Una Evidencia a Través del Modelo: "Switching" de Hamilton," Borradores de Economia 086, Banco de la Republica de Colombia.
  18. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
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  20. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521411462, April.
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