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A Disaggregate Model and Second Round Effects for the CPI Inflation in Costa Rica

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  • Leon, Jorge

Abstract

This paper estimates a medium-term forecasting model for the headline inflation of Costa Rica, utilizing disaggregate data from the components of the Consumer Price Index (CPI). The period used for the estimation is characterize by a process of reduction of inflation and stabilized around the Central Bank's inflation target. The result show that the use of disaggregate data is at least as good as the aggregate data in forecast accuracy. The disaggregate model allows to differentiate the inertia and the Second-Round effects present on the inflation.

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File URL: http://mpra.ub.uni-muenchen.de/44484/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 44484.

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Date of creation: 2012
Date of revision: 2012
Handle: RePEc:pra:mprapa:44484

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Keywords: Inflation; Forecast; CPI; PPI; Second Round Effect.;

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  1. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume, Reserve Bank of Australia, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  2. Aigner, Dennis J & Goldfeld, Stephen M, 1974. "Estimation and Prediction from Aggregate Data when Aggregates are Measured More Accurately than Their Components," Econometrica, Econometric Society, Econometric Society, vol. 42(1), pages 113-34, January.
  3. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195060119, October.
  4. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile, Central Bank of Chile 545, Central Bank of Chile.
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