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Inflation Dynamics and the Hybrid New Keynesian Phillips Curve: The Case of Chile

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  • Carlos A. Medel

    (Banco Central de Chile)

Abstract

It is recognized that the understanding and accurate forecasts of key macroeconomic variables are fundamental for the success of any eco¬nomic policy. In the case of monetary policy, many efforts have been made toward understanding the relation between past and expected values of inflation, resulting in the so-called hybrid New Keynesian Phillips curve (HNKPC). In this article I investigate to which extent the HNKPC help to explain inflation dynamics as well as its out-of- sam¬ple forecast for the case of the Chilean economy. The results show that the forward-looking component is significant and accounts from 1.58 to 0.40 times the lagged inflation coefficient. Also, I find predictive gains close to 45% (respect to a backward-looking specification) and up to 80% (respect to the random walk) when forecasting at 12-months ahead. The output gap building process plays a key role delivering better results than similar benchmark. None of the two openness measures used –real exchange rate nor oil price– are significant in the reduced form. A final estimation using the annual variation of a monthly in¬dicator of GDP deliver reasonable forecast accuracy but not as good as the preferred forecast-implied output gap measure.

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  • Carlos A. Medel, 2015. "Inflation Dynamics and the Hybrid New Keynesian Phillips Curve: The Case of Chile," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 25-69, january-j.
  • Handle: RePEc:cml:moneta:v:iii:y:2015:i:1:p:25-69
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    1. Carlos Medel, 2017. "Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 004-050, December.
    2. Carlos A. Medel, 2018. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," International Economic Journal, Taylor & Francis Journals, vol. 32(3), pages 331-371, July.
    3. Carlos Medel, 2018. "An econometric analysis on survey-data-based anchoring of inflation expectations in Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 21(2), pages 128-152, August.
    4. Carlos Medel, 2021. "Forecasting Brazilian Inflation with the Hybrid New Keynesian Phillips Curve: Assessing the Predictive Role of Trading Partners," Working Papers Central Bank of Chile 900, Central Bank of Chile.
    5. Carlos Medel, 2021. "Searching for the Best Inflation Forecasters within a Consumer Perceptions Survey: Microdata Evidence from Chile," Working Papers Central Bank of Chile 899, Central Bank of Chile.

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    More about this item

    Keywords

    new Keynesian Phillips curve; inflation forecast; outof-sample comparisons; survey data; real-time dataset;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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