IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo

Author Info

Listed author(s):
  • Héctor Mauricio Nuñez Amortegui

    ()

Abstract

Based on the understanding of inflation forecasts as an intermediate policy objective, this paper evaluates forecasts of different inflation models in Colombia during the inflation targeting (IT) period. The evaluation is done using three different statistical methodologies. The results suggest that the best models, in terms of precision, are the Food´s Relative Price and the traditional P* models. Additionally, a multiplier analysis is performed over these models, in which the sensitivity of short and medium term forecasts to shocks in the exogenous variables is assessed

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://revistas.urosario.edu.co/index.php/economia/article/view/1032/931
Download Restriction: no

Article provided by UNIVERSIDAD DEL ROSARIO in its journal REVISTA DE ECONOMÍA DEL ROSARIO.

Volume (Year): (2005)
Issue (Month): (December)
Pages:

as
in new window

Handle: RePEc:col:000151:003709
Contact details of provider:

Keywords: inflación objetivo; pronósticos de inflación; pruebas para evaluación de pronósticos; análisis de multiplicadores;

Find related papers by JEL classification:

  • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
  • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
  • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Elkin Castaño V. & Luis Fernando Melo Velandia, 1998. "Métodos De Combinación De Pronósticos:Una Aplicación A La Inflación Colombiana," BORRADORES DE ECONOMIA 003212, BANCO DE LA REPÚBLICA.
  2. Munir A. Jalil & Luis Fernando Melo, 2000. "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
  3. Fair, Ray C & Shiller, Robert J, 1989. "The Informational Context of Ex Ante Forecasts," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 325-331, May.
  4. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA.
  5. Martha Misas Arango & Enrique López Enciso & Pablo Querubín, 2002. "La Inflación En Colombia: Una Aproximación Desde Las Redes Neuronales," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 20(41-42), pages 143-214, June.
  6. Luis Fernando Melo & Héctor Núñez, 2004. "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
  7. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June.
  8. Luis Fernando Melo & Martha Misas, 1998. "Análisis del comportamiento de la inflación trimestral en Colombia bajo cambios de régimen: Una evidencia a través del modelo "Switching" de Hamilton," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, November.
  9. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083.
  10. 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.
  11. Luis Eduardo Arango, 1999. "Componentes no observados de la inflación en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, June.
  12. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-389, June.
  13. Martha Misas A. & Enrique López E. & Luis Fernando Melo V., 1999. "La inflación desde una perspectiva monetaria: un modelo P* para Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 0(35), pages 5-53, Junio.
  14. Javier Gómez & José Darío Uribe & Hernando Vargas, 2002. "The Implementation Of Inflation Targeting In Colombia," BORRADORES DE ECONOMIA 003603, BANCO DE LA REPÚBLICA.
  15. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  16. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-259, April.
  17. Laurence Ball & N. Gregory Mankiw, 1995. "Relative-Price Changes as Aggregate Supply Shocks," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 161-193.
  18. Enrique López E. & Martha Misas A., 1998. "Un examen empírico de la curva de Phillips en Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 17(34), pages 39-87, Diciembre.
  19. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
  20. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
  21. Jeannine Bailliu & Daniel Garcés & Mark Kruger & Miguel Messmacher, 2003. "Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico," Staff Working Papers 03-17, Bank of Canada.
  22. Goodfriend, Marvin, 1997. "A framework for the analysis of moderate inflations," Journal of Monetary Economics, Elsevier, vol. 39(1), pages 45-65, June.
  23. Mario Nigrinis Ospina, 2004. "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia 282, Banco de la Republica de Colombia.
  24. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
Full references (including those not matched with items on IDEAS)

The CitEc project has not yet found citations to this item.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:col:000151:003709. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Facultad de Economía)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.