IDEAS home Printed from https://ideas.repec.org/a/bcr/ensayo/v1y2021i76p75-102.html
   My bibliography  Save this article

Macroeconomic Factors for Inflation in Argentina 2013-2019

Author

Listed:
  • Alberto Manuel López Galván

    (Universidad de Buenos Aires)

Abstract

The aim of this paper is to investigate the use of the factor analysis in order to identify the role of the relevant macroeconomic variables in driving the inflation. The macroeconomic predictors that usually affect the inflation are summarized using a small number of factors constructed by the principal components. This allows us to identify the crucial role of money growth, inflation expectations and exchange rate in driving the inflation. Then we use these factors to build econometric models to forecast inflation. Specifically, we use univariate and multivariate models such as classical autoregressive, Factor models and FAVAR models. Results of forecasting suggest that models which incorporate more economic information outperform the benchmarks. Furthermore, causality test and impulse response are performed in order to examine the short-run dynamics of inflation to shocks in the principal factors.

Suggested Citation

  • Alberto Manuel López Galván, 2021. "Macroeconomic Factors for Inflation in Argentina 2013-2019," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(76), pages 75-102, May.
    • Handle: RePEc:bcr:ensayo:v:1:y:2021:i:76:p:75-102
    as

    Download full text from publisher

    File URL: http://www.bcra.gov.ar/Institucional/DescargaPDF/DownloadPDF.aspx?Id=979
    File Function: Spanish version (versión en Español)
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    factor analysis; factor models; forecasting; inflation; money;
    All these keywords.

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcr:ensayo:v:1:y:2021:i:76:p:75-102. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Federico Grillo (email available below). General contact details of provider: https://edirc.repec.org/data/bcraaar.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.