Forecasting Inflation Risks in Latin America: A Technical Note
There are many sources of inflation forecasts for Latin America. The International Monetary Fund, Latin Focus, the Economist Intelligence Unit and other consulting companies all offer inflation forecasts. However, these sources do not provide any probability measures regarding the risk of inflation. In some cases, Central Banks offer forecast and probability analyses but typically their models are not fully transparent. This technical note attempts to develop a relatively homogeneous set of methodologies and employs them to estimate inflation forecasts, probability distributions for those forecasts and hence probability measures of high inflation. The methodologies are based on both parametric and non-parametric estimation. Results are given for five countries in the region that have inflation targeting regimes.
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Technical Notes biblioteca |
| Language: | English |
| Published: |
Inter-American Development Bank
|
| Subjects: | Economy, C53 - Forecasting and Prediction Methods • Simulation Methods, E37 - Forecasting and Simulation: Models and Applications, Inflation forecast, Inflation risk,, |
| Online Access: | http://dx.doi.org/10.18235/0009040 https://publications.iadb.org/en/forecasting-inflation-risks-latin-america-technical-note |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | There are many sources of inflation forecasts for Latin America. The International Monetary Fund, Latin Focus, the Economist Intelligence Unit and other consulting companies all offer inflation forecasts. However, these sources do not provide any probability measures regarding the risk of inflation. In some cases, Central Banks offer forecast and probability analyses but typically their models are not fully transparent. This technical note attempts to develop a relatively homogeneous set of methodologies and employs them to estimate inflation forecasts, probability distributions for those forecasts and hence probability measures of high inflation. The methodologies are based on both parametric and non-parametric estimation. Results are given for five countries in the region that have inflation targeting regimes. |
|---|