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Indicadores Sintéticos para la Proyección de Imacec en Chile

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  • Gonzalo Calvo
  • Miguel Ricaurte

Abstract

This paper studies the informational content of synthetic indicators of economic activity for projecting the monthly index of economic activity (Imacec) for Chile. Comparing them to the Urrutia-Sánchez (2008) model, which employs energy production, and calendar and seasonal components to forecast the Imacec, models employing synthetic leading indicators and financial conditions indicators are competitive in terms of the MSFE. Moreover, we show that combinations of different forecasting strategies with small bias present improvements in terms of the MSFE with respect to individual models. We also show that, due to their inertial behavior, projections with synthetic indicators display errors that last for many periods after an exogenous event (such as an earthquake). Specifications with variables that quickly adjust to economic activity, such as energy consumption, do not have this problem.

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Bibliographic Info

Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 656.

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Date of creation: Jan 2012
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Handle: RePEc:chb:bcchwp:656

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  1. Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
  2. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  3. Marcela Urrutia A. & Andrea Sánchez Y., 2008. "Generación de Energía Eléctrica en un Modelo para Proyectar el IMACEC," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 99-108, August.
  4. 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.
  5. Michael Pedersen, 2009. "Un indicador líder compuesto para la actividad económica en Chile," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 181-208, abril-jun.
  6. Luis Ceballos S. & Mario González F., 2012. "Indicador de Condiciones Económicas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(1), pages 105-117, April.
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Cited by:
  1. Luis Ceballos S. & Mario González F., 2012. "Indicador de Condiciones Económicas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(1), pages 105-117, April.
  2. Luis Ceballos S. & Miguel Fuentes D. & Damián Romero C., 2013. "Efectos del Riesgo Financiero en Fuentes de Financiamiento de Empresas, Hogares y Bancos," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(2), pages 134-148, August.

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