Forecasting Inflation Risks in Latin America: A Technical Note

23 Pages Posted: 9 Jul 2012

See all articles by Rodrigo Mariscal

Rodrigo Mariscal

El Colegio de Mexico; Mexico's Ministry of Finance

Andrew Powell

Inter-American Development Bank (IDB); Universidad Torcuato Di Tella - School of Business; Harvard University - Center for International Development (CID)

Date Written: June 2012

Abstract

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.

JEL Classification: C53, E37

Suggested Citation

Mariscal, Rodrigo and Powell, Andrew P. and Powell, Andrew P., Forecasting Inflation Risks in Latin America: A Technical Note (June 2012). IDB Working Paper No. IDB-TN-403, Available at SSRN: https://ssrn.com/abstract=2102143 or http://dx.doi.org/10.2139/ssrn.2102143

Rodrigo Mariscal (Contact Author)

El Colegio de Mexico ( email )

Camino al Ajusco 20
Col. Pedregal de Santa Teresa
Mexico, City, 10740
Mexico

HOME PAGE: http://www.colmex.mx/

Mexico's Ministry of Finance ( email )

Av. Insurgentes Sur No. 1971
Torre III, Piso 9
Mexico City, CDMX 01020
Mexico

Andrew P. Powell

Universidad Torcuato Di Tella - School of Business ( email )

Saenz Valiente 1010
C1428BIJ Buenos Aires
Argentina
+5411 4787-9349 (Phone)
+5411 4783-3220 (Fax)

Inter-American Development Bank (IDB) ( email )

1300 New York Avenue NW
Washington, DC 20577
United States

Harvard University - Center for International Development (CID) ( email )

One Eliot Street Building
79 JFK Street
Cambridge, MA 02138
United States

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