Improving Inflation Forecasts From the Survey of Professional Forecasters in Chile

El Trimestre Económico, Vol. 78, Núm. 305, pp. 129-154, enero-marzo de 2010

Posted: 6 Feb 2012

See all articles by Pablo M. Pincheira

Pablo M. Pincheira

Adolfo Ibanez University - School of Business

Andrea Bentancor

Adolfo Ibanez University

Date Written: August 1, 2008

Abstract

We evaluate inflation forecasts from the Survey of Professional Forecasters (SPF) of the Central Bank of Chile. Forecast errors for the period 2000-2008 show an excess of autocorrelation and a statistically significant bias at the end of the sample. We take advantage of the bias and autocorrelation structure of the forecast errors to build new and more accurate inflation forecasts. We evaluate these new forecasts in an out-of sample exercise. The new forecasts display important reductions in bias and Mean Square Prediction Error. Moreover, these reductions are, in general, statistically significant.

Keywords: inflation forecasts, out-of-sample evaluation, efficiency test

JEL Classification: C01, C32, C53, E30, E31, E37

Suggested Citation

Pincheira, Pablo M. and Bentancor, Andrea, Improving Inflation Forecasts From the Survey of Professional Forecasters in Chile (August 1, 2008). El Trimestre Económico, Vol. 78, Núm. 305, pp. 129-154, enero-marzo de 2010 , Available at SSRN: https://ssrn.com/abstract=2000011

Pablo M. Pincheira (Contact Author)

Adolfo Ibanez University - School of Business ( email )

Diagonal Las Torres 2640
Peñalolén
Santiago
Chile

Andrea Bentancor

Adolfo Ibanez University ( email )

Diagonal Las Torres 2640 Peñaleón
Presidente Errázuriz 3485 Las Condes
Santiago, 794-1169
Chile

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