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Pronósticos de agregados a partir de desagregados Caso empírico: Inflación de alimentos en Colombia

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  • Eliana Rocío González Molano

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Abstract

Pronosticar la inflación de alimentos es uno de los grandes retos del Banco central, debido a la altaponderación de los alimentos dentro del IPC y puesto que los rubros que conforman este grupoobedecen principalmente a factores de oferta que no son fácilmente predecibles ni reaccionan a lapolítica monetaria. En este trabajo se construyen pronósticos para la inflación de alimentos a partir dedesagregados, utilizando diferentes clasificaciones de la canasta de alimentos del IPC. Se evalúan ycomparan modelos tanto univariados como multivariados según su capacidad de pronóstico. Losresultados muestran, que los pronósticos construidos a partir de pronósticos de subgrupos dealimentos generados por modelos multivariados (VARX y VEC) producen menor error de pronósticoque los generados por un modelo univariado (ARX). De otro lado, para el corto y mediano plazo, lospronósticos para el agregado construidos agregando pronósticos de subgrupos de alimentos producenmenor error de pronóstico que los pronósticos para la inflación de alimentos generados por un modeloque contiene tanto rezagos del agregado como rezagos de los subgrupos. Sin embargo, para horizontesmás lejanos los segundos parecen mejores que los primeros.

Suggested Citation

  • Eliana Rocío González Molano, 2008. "Pronósticos de agregados a partir de desagregados Caso empírico: Inflación de alimentos en Colombia," BORRADORES DE ECONOMIA 004596, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:004596
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    Keywords

    Inflación de alimentos; desagregación; métodos de clasificación de variables; pronósticos.;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • 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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