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Dinámica inflacionaria y la curva de Phillips híbrida neokeynesiana: el caso de Chile

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  • Carlos A. Medel

    (Banco Central de Chile)

Abstract

Es bien sabido que el entendimiento y la precisión predictiva de variables macroeconómicas clave son fundamentales para el éxito de cualquier política económica. En el caso de la política monetaria, se han realizado muchos intentos por entender la relación entre los valores pasados y previstos de la inflación, lo que derivó en la denominada curva de Phillips híbrida neokeynesiana (hybrid New Keynesian Phillips curve, HNKPC). En el presente artículo, se investiga la medida en que la HNKPC ayuda a explicar la dinámica inflacionaria como así también su previsión fuera de muestra para el caso de la economía chilena. Los resultados muestran que el componente prospectivo es significativo y representa de 1.58 a 0.40 veces el coeficiente de la inflación rezagada. Asimismo, se descubre que las ganancias predictivas son cercanas al 45% (con respecto a una especificación retrospectiva) y hasta al 80% (con respecto al paseo aleatorio) cuando se pronostica con 12 meses de anticipación. El proceso de construcción de la brecha del producto desempeña un papel fundamental para proveer mejores resultados que modelos de referencia. Ninguna de las dos medidas de apertura económica utilizadas (el tipo de cambio real y el precio del petróleo) son significativas en la forma reducida. Una estimación final utilizando la variación anual de un indicador mensual del pib ofrece una precisión predictiva razonable aunque no superior a la medida preferida de brecha del producto basada en pronósticos

Suggested Citation

  • Carlos A. Medel, 2015. "Dinámica inflacionaria y la curva de Phillips híbrida neokeynesiana: el caso de Chile," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 27-78, Enero-jun.
  • Handle: RePEc:cml:moneta:v:xxxvii:y:2015:i:1:p:27-78
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    References listed on IDEAS

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    More about this item

    Keywords

    curva de Phillips neokeynesiana; pronóstico de inflación; comparación con datos fuera de muestra; datos de encuesta; conjuntos de datos en tiempo real.;

    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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