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Forecasting Chilean Inflation in Difficult Times

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Author Info
Juan Díaz
Gustavo Leyva

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Abstract

In this paper we compare point and density forecasts generated by estimating AR and VAR models using disaggregated quarterly data of Chilean inflation. We motivate this comparison by our belief that, in the recent high inflation context, the use of the joint dynamics of the price index inflation of the consumer basket’s components renders multivariate model’s forecasts more useful than the forecasts constructed based on univariate models. We find supportive evidence for our belief only for the case of point forecasts.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 511.

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Date of creation: Dec 2008
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Handle: RePEc:chb:bcchwp:511

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  1. Hernando Vargas & Andrés González & Eliana González & Jose Vicente Romero, 2009. "Assessing Inflationary Pressures in Colombia," BORRADORES DE ECONOMIA 005473, BANCO DE LA REPÚBLICA. [Downloadable!]
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