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Un Análisis de la Capacidad Predictiva del Precio del Cobre sobre la Inflación Global

Listed author(s):
  • Carlos Medel

In this article, I use a family of time-series models to compare the predictive ability between an ad hoc global inflation factor and the copper price when forecasting domestic inflation of a sample of 53 countries. Furthermore, I analise the forecasting ability that the price of copper could provide combined with the global inflation factor and, finally, over the oil price for a monthly sample covering 1995-2013. The countries belong to two groups: the Organisation for Co-operation and Development (OECD) and the Centre for Latin American Monetary Studies (CEMLA). The results indicate that the copper price show modest predictive gains compared to the forecast made without any factor augmentation for the majority of analised countries. When analysing the number of times in which the copper price deliver more accurate forecasts than those based on inflation factor, it is found that occur in a low 9, 17, and 28% of cases when predicting at one-, 12-, and 24-months ahead. Hence, when the copper price actually improves forecast accuracy, it is observed in the long run. It is discovered as well that when copper price helps, it is for Caribbean CEMLA countries. The information provided by oil price over inflation factor and copper price enhances forecast accuracy mainly in the long run, and for South American CEMLA countries gains are of a modest magnitude. These results are important since the information that a commodity price contains on future domestic inflation dynamics is of vital importance for policymakers, especially those concerned with imported inflation.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 786.

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Date of creation: May 2016
Handle: RePEc:chb:bcchwp:786
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  1. Carlos Medel, 2015. "Fuelling Future Prices: Oil Price and Global Inflation," Working Papers Central Bank of Chile 770, Central Bank of Chile.
  2. Carlos A. Medel & Pablo M. Pincheira, 2016. "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 126-131, February.
  3. Carlos A. Medel & Michael Pedersen & Pablo M. Pincheira, 2016. "The Elusive Predictive Ability of Global Inflation," International Finance, Wiley Blackwell, vol. 19(2), pages 120-146, 06.
  4. Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, vol. 26(2), pages 432-444, March.
  5. Carlos A. Medel, 2016. "Un análisis de la capacidad predictiva del precio del cobre sobre la inflación global," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(2), pages 128-153, August.
  6. Carlos Capistrán & Manuel Ramos-Francia, 2009. "Inflation Dynamics In Latin America," Contemporary Economic Policy, Western Economic Association International, vol. 27(3), pages 349-362, 07.
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