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Predicción de errores de proyección de inflación en Chile

Author

Listed:
  • Bentancor, Andrea

    (Universidad Adolfo Ibáñez)

  • Pincheira, Pablo

    (Banco Central de Chile)

Abstract

We evaluate inflation forecasts from the Survey of Professional Forecasters (SPF) of the Central Bank of Chile. Forecast errors for the period 2000-2008 show an excess of autocorrelation and a statistically significant bias at the end of the sample. We take advantage of the autocorrelation structure of the forecast errors to build new and more accurate inflation forecasts. We evaluate these new forecasts in an out-of-sample exercise. The new forecasts display important reductions in bias (34%) and Mean Square Prediction Error (29%). Moreover, these reductions are, in general, statistically significant.// En este artículo evaluamos las proyecciones de inflación provenientes de la Encuesta de Expectativas Económicas del Banco Central de Chile. Nuestro análisis, para el período 2000-2008, detecta un exceso de autocorrelación en los errores de predicción y un sesgo estadísticamente significativo hacia el final de la muestra. El sesgo y el exceso de autocorrelación encontrados posibilitan mejorar las proyecciones de inflación mediante la incorporación de un buen predictor de errores. Los resultados de un ejercicio fuera de muestra indican que el ajuste propuesto permite reducir el sesgo y el error cuadrático medio de las proyecciones de inflación hasta en 34 y 29%, respectivamente. En general estas reducciones son estadísticamente significativas.

Suggested Citation

  • Bentancor, Andrea & Pincheira, Pablo, 2010. "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(305), pages 129-154, enero-mar.
  • Handle: RePEc:elt:journl:v:77:y:2010:i:305:p:129-154
    DOI: http://dx.doi.org/10.20430/ete.v77i305.437
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    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/437/480
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    Citations

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    Cited by:

    1. Capistrán, Carlos & López-Moctezuma, Gabriel, 2014. "Forecast revisions of Mexican inflation and GDP growth," International Journal of Forecasting, Elsevier, vol. 30(2), pages 177-191.
    2. Mario Marcel & Carlos Medel & Jessica Mena, 2017. "Determinantes de la Inflación de Servicios en Chile," Working Papers Central Bank of Chile 803, Central Bank of Chile.
    3. Pablo Pincheira B. & Nicolás Fernández, 2011. "Jaque Mate a las Proyecciones de Consenso," Working Papers Central Bank of Chile 630, Central Bank of Chile.
    4. Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
    5. Alfredo Pistelli M., 2012. "Análisis de Sesgos y Eficiencia en Proyecciones de Consensus Forecasts," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(1), pages 98-104, April.
    6. Pablo Pincheira, 2010. "A Real Time Evaluation of the Central Bank of Chile GDP Growth Forecasts," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 37-73, January-J.
    7. Capistrán, Carlos & López-Moctezuma, Gabriel, 2010. "Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(306), pages 275-312, abril-jun.

    More about this item

    Keywords

    inflation prediction; survey of professional forecasters; out-of-sample evaluation; rationality test; weak efficiency test; predicción de inflación; encuestas de expectativas; predicción fuera de muestra; prueba de racionalidad; prueba de eficiencia débil;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • 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

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