Forecasting Inflation in Argentina
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models to forecast inflation for Argentina, which includes autoregressive models and different scale Bayesian VARs (BVAR), and compares their relative accuracy. The results show that the BVAR model can improve the forecast ability of the univariate autoregressive benchmark’s model of inflation. The Giacomini-White test indicates that a BVAR performs better than the benchmark in all forecast horizons. Statistical differences between the two BVAR model specifications (small and large-scale) are not found. However, looking at the RMSEs, one can see that the larger model seems to perform better for longer forecast horizons.
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| Language: | English |
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Inter-American Development Bank
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| Subjects: | Inflation, Inflation Targeting, C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models, C53 - Forecasting and Prediction Methods • Simulation Methods, Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models, |
| Online Access: | http://dx.doi.org/10.18235/0001160 https://publications.iadb.org/en/forecasting-inflation-argentina |
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dig-bid-node-129902020-04-20T16:43:47ZForecasting Inflation in Argentina 2018-06-13T00:00:00+0000 http://dx.doi.org/10.18235/0001160 https://publications.iadb.org/en/forecasting-inflation-argentina Inter-American Development Bank Inflation Inflation Targeting C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C53 - Forecasting and Prediction Methods • Simulation Methods Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models to forecast inflation for Argentina, which includes autoregressive models and different scale Bayesian VARs (BVAR), and compares their relative accuracy. The results show that the BVAR model can improve the forecast ability of the univariate autoregressive benchmark’s model of inflation. The Giacomini-White test indicates that a BVAR performs better than the benchmark in all forecast horizons. Statistical differences between the two BVAR model specifications (small and large-scale) are not found. However, looking at the RMSEs, one can see that the larger model seems to perform better for longer forecast horizons. Inter-American Development Bank Lorena Garegnani Maximiliano Gómez Aguirre Working Papers application/pdf IDB Publications Argentina en |
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Biblioteca Felipe Herrera del BID |
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English |
| topic |
Inflation Inflation Targeting C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C53 - Forecasting and Prediction Methods • Simulation Methods Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models Inflation Inflation Targeting C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C53 - Forecasting and Prediction Methods • Simulation Methods Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models |
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Inflation Inflation Targeting C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C53 - Forecasting and Prediction Methods • Simulation Methods Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models Inflation Inflation Targeting C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C53 - Forecasting and Prediction Methods • Simulation Methods Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models Inter-American Development Bank Forecasting Inflation in Argentina |
| description |
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models to forecast inflation for Argentina, which includes autoregressive models and different scale Bayesian VARs (BVAR), and compares their relative accuracy. The results show that the BVAR model can improve the forecast ability of the univariate autoregressive benchmark’s model of inflation. The Giacomini-White test indicates that a BVAR performs better than the benchmark in all forecast horizons. Statistical differences between the two BVAR model specifications (small and large-scale) are not found. However, looking at the RMSEs, one can see that the larger model seems to perform better for longer forecast horizons. |
| author2 |
Lorena Garegnani |
| author_facet |
Lorena Garegnani Inter-American Development Bank |
| format |
Working Papers |
| topic_facet |
Inflation Inflation Targeting C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C53 - Forecasting and Prediction Methods • Simulation Methods Bayesian Vector Autoregressive;Forecasting;Prior specification;Marginal likelihood;Small-scale and large-scale models |
| author |
Inter-American Development Bank |
| author_sort |
Inter-American Development Bank |
| title |
Forecasting Inflation in Argentina |
| title_short |
Forecasting Inflation in Argentina |
| title_full |
Forecasting Inflation in Argentina |
| title_fullStr |
Forecasting Inflation in Argentina |
| title_full_unstemmed |
Forecasting Inflation in Argentina |
| title_sort |
forecasting inflation in argentina |
| publisher |
Inter-American Development Bank |
| url |
http://dx.doi.org/10.18235/0001160 https://publications.iadb.org/en/forecasting-inflation-argentina |
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AT interamericandevelopmentbank forecastinginflationinargentina |
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