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...
Guardado en:
| Autores principales: | , , , |
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| Formato: | Objeto de conferencia |
| Lenguaje: | Inglés |
| Publicado: |
2015
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| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/169227 |
| Aporte de: |
| Sumario: | 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. |
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