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Forecasting a monetary aggregate under instability: Argentina after 2001

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  • Ahumada, Hildegart A.
  • Garegnani, Maria Lorena

Abstract

This paper compares different forecasting approaches for the Argentine monetary aggregate M2, which is a key variable for monetary policy. First, we estimate a conditional equilibrium-correction model of money demand, which is theory consistent and accounts for the main features of the data. Next, we compare its forecasts with those obtained by other methods: a VAR in differences, naïve models, robustified devices, forecasting aggregates using disaggregates, and pooling of forecasts using different models and windows. They are evaluated over an unstable period in which there was often uncertainty about the economic regime. For forecasting the growth rate of M2, it can be useful to complement the equilibrium-correction model with other approaches like univariate AR models, either individually or by pooling.

Suggested Citation

  • Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
  • Handle: RePEc:eee:intfor:v:28:y:2012:i:2:p:412-427
    DOI: 10.1016/j.ijforecast.2011.01.008
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    Cited by:

    1. Aguilar, Ruben & Valdivia, Daney, 2011. "Precios de exportación de gas natural para Bolivia: Modelación y pooling de pronósticos
      [Bolivian natural gas export prices: Modeling and forecast pooling]
      ," MPRA Paper 35485, University Library of Munich, Germany.

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