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Predicción de errores de proyección de inflación en Chile

Listed author(s):
  • Bentancor, Andrea

    (Universidad Adolfo Ibáñez)

  • Pincheira, Pablo

    (Banco Central de Chile)

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.

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Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXVII (1) (2010)
Issue (Month): 305 (enero-marzo)
Pages: 129-154

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Handle: RePEc:elt:journl:v:77:y:2010:i:305:p:129-154
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