Forecasting annual inflation with power transformations : the case of inflation targeting countries

Zárate-Solano, Hector Manuel; Rengifo-Gómez, Angélica

Forecasting annual inflation with power transformations : the case of inflation targeting countries

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Borradores de Economía; No. 756

Date published

2013-02-06

Date

2013-02-06

Authors

Zárate-Solano, Hector Manuel
Rengifo-Gómez, Angélica

Document language

spa

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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as t