Different Approaches to Inflation Forecasting in Argentina

We apply some recently developed and more traditional methods to forecast in ation in Argentina and compare their predictive ability at di¤erent horizons. Our variety of models includes: (i) Traditional time series models -AR(1) and a monetary VAR-, (ii) a factor model combining a large number of bu...

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Autores principales: Basco, Emiliano, Blanco, Emilio, D'Amato, Laura, Garegnani, María Lorena
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2015
Materias:
Ciencias Económicas
Inflation Forecasting
Time Series Models
Phillips Curve
Factor Models
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/169227
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SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-169227
record_format dspace
spelling I19-R120-10915-1692272024-08-29T04:07:51Z http://sedici.unlp.edu.ar/handle/10915/169227 Different Approaches to Inflation Forecasting in Argentina Basco, Emiliano Blanco, Emilio D'Amato, Laura Garegnani, María Lorena 2015-11 2015 2024-08-28T18:46:40Z en Ciencias Económicas Inflation Forecasting Time Series Models Phillips Curve Factor Models We apply some recently developed and more traditional methods to forecast in ation in Argentina and compare their predictive ability at di¤erent horizons. Our variety of models includes: (i) Traditional time series models -AR(1) and a monetary VAR-, (ii) a factor model combining a large number of business cycle indicators and (iii) micro-funded models including a conventional New Keynesian Phillips Curve and one that incorporates money to evaluate its information content as a predictor of in ation. We compare the predictive performance of the di¤erent methods using the Giacomini-White test over the relevant horizons for monetary policy decisions. We nd that the monetary VAR outperforms the rest of the models. Aplicamos metodologías recientes y tradicionales para pronosticar la in ación en la Argentina, comparando su capacidad predictiva para diferentes horizontes. Nuestra variedad de modelos incluye: (i) Modelos tradicionales de series de tiempo -AR (1) y un VAR monetario-, (ii) modelos de factores que combinan un gran número de indicadores del ciclo económico y (iii) modelos microfundados incluyendo una Curva de Phillips nuevo keynesiana convencional y una que incorpora dinero para evaluar su contenido informativo como predictor de la in- ación. Comparamos la capacidad predictiva de los diferentes métodos empleando el test de Giacomini-White para horizontes relevantes en la toma de decisiones de política monetaria. Encontramos que el VAR monetario supera al resto de los modelos. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Inflation Forecasting
Time Series Models
Phillips Curve
Factor Models
spellingShingle Ciencias Económicas
Inflation Forecasting
Time Series Models
Phillips Curve
Factor Models
Basco, Emiliano
Blanco, Emilio
D'Amato, Laura
Garegnani, María Lorena
Different Approaches to Inflation Forecasting in Argentina
topic_facet Ciencias Económicas
Inflation Forecasting
Time Series Models
Phillips Curve
Factor Models
description We apply some recently developed and more traditional methods to forecast in ation in Argentina and compare their predictive ability at di¤erent horizons. Our variety of models includes: (i) Traditional time series models -AR(1) and a monetary VAR-, (ii) a factor model combining a large number of business cycle indicators and (iii) micro-funded models including a conventional New Keynesian Phillips Curve and one that incorporates money to evaluate its information content as a predictor of in ation. We compare the predictive performance of the di¤erent methods using the Giacomini-White test over the relevant horizons for monetary policy decisions. We nd that the monetary VAR outperforms the rest of the models.
format Objeto de conferencia
Objeto de conferencia
author Basco, Emiliano
Blanco, Emilio
D'Amato, Laura
Garegnani, María Lorena
author_facet Basco, Emiliano
Blanco, Emilio
D'Amato, Laura
Garegnani, María Lorena
author_sort Basco, Emiliano
title Different Approaches to Inflation Forecasting in Argentina
title_short Different Approaches to Inflation Forecasting in Argentina
title_full Different Approaches to Inflation Forecasting in Argentina
title_fullStr Different Approaches to Inflation Forecasting in Argentina
title_full_unstemmed Different Approaches to Inflation Forecasting in Argentina
title_sort different approaches to inflation forecasting in argentina
publishDate 2015
url http://sedici.unlp.edu.ar/handle/10915/169227
work_keys_str_mv AT bascoemiliano differentapproachestoinflationforecastinginargentina
AT blancoemilio differentapproachestoinflationforecastinginargentina
AT damatolaura differentapproachestoinflationforecastinginargentina
AT garegnanimarialorena differentapproachestoinflationforecastinginargentina
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