Bayesian combination for inflation forecasts : the effects of a prior based on central banks' estimates

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Borradores de Economía; No. 853

Date published

2014-11-20

Date

2014-11-20

Authors

Melo-Velandia, Luis Fernando
Loaiza-Maya, Rubén Albeiro
Villamizar-Villegas, Mauricio

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ISBN

Document language

eng
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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

Typically, central banks use a variety of individual models (or a combination of models) when forecasting inflation rates. Most of these require excessive amounts of data, time, and computational power; all of which are scarce when monetary authorities me

Description

JEL Codes

C11 - Bayesian Analysis: General
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
C53 - Forecasting and Prediction Methods; Simulation Methods
E31 - Price Level; Inflation; Deflation

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Keywords

Keywords

Bayesian shrinkage , Inflation forecast combination , Internal forecasts , Rolling window estimation

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6141
 https://hdl.handle.net/20.500.12134/6141
 https://ideas.repec.org/p/bdr/borrec/853.html
 https://doi.org/10.32468/be.853

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