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Forecasting Inflation Risks in Latin America: A Technical Note

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  • Rodrigo Mariscal
  • Andrew Powell

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Abstract

There are many sources of inflation forecasts for Latin America. The International Monetary Fund, Latin Focus, the Economist Intelligence Unit and other consulting companies all offer inflation forecasts. However, these sources do not provide any probability measures regarding the risk of inflation. In some cases, Central Banks offer forecast and probability analyses but typically their models are not fully transparent. This technical note attempts to develop a relatively homogeneous set of methodologies and employs them to estimate inflation forecasts, probability distributions for those forecasts and hence probability measures of high inflation. The methodologies are based on both parametric and non-parametric estimation. Results are given for five countries in the region that have inflation targeting regimes.

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Bibliographic Info

Paper provided by Inter-American Development Bank, Research Department in its series Research Department Publications with number 4785.

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Date of creation: Jun 2012
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Handle: RePEc:idb:wpaper:4785

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  1. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics.
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  5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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