Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates
| dc.audience | Policymakers | eng |
| dc.audience | Researchers | eng |
| dc.audience | Students | eng |
| dc.audience | Teachers | eng |
| dc.contributor.institucion | Banco de la República - Colombia | spa |
| dc.coverage.ciudad | Bogotá | spa |
| dc.creator | Melo-Velandia, Luis Fernando | spa |
| dc.creator | Loaiza, Rubén | spa |
| dc.creator | Villamizar-Villegas, Mauricio | spa |
| dc.date.accessioned | 2019-05-29T21:20:42Z | spa |
| dc.date.available | 2019-05-29T21:20:42Z | spa |
| dc.date.created | 2014-11-20 | spa |
| dc.description.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 meet to decide over policy interventions. In this paper we use a rolling Bayesian combination technique that considers inflation estimates by the staff of the Central Bank of Colombia during 2002-2011 as prior information. Our results show that: 1) the accuracy of individual models is improved by using a Bayesian shrinkage methodology, and 2) priors consisting of staff's estimates outperform all other priors that comprise equal or zero-vector weights. Consequently, our model provides readily available forecasts that exceed all individual models in terms of forecasting accuracy at every evaluated horizon. | eng |
| dc.format.extent | 20 páginas : gráficas, tablas | spa |
| dc.format.mimetype | spa | |
| dc.identifier.uri | http://repositorio.redinvestigadores.org/handle/Riec/16 | spa |
| dc.language.iso | eng | eng |
| dc.relation.ispartof | Documentos de Trabajo | spa |
| dc.relation.number | No. 8 | spa |
| dc.relation.repec | https://ideas.repec.org/p/rie/riecdt/8.html | spa |
| dc.relation.uri | http://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/6141/be_853.pdf?sequence=1&isAllowed=y | spa |
| dc.rights.accessRights | Open Access | eng |
| dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | spa |
| dc.rights.spa | Acceso abierto | spa |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
| dc.subject.jel | C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes | eng |
| dc.subject.jel | C53 - Forecasting and Prediction Methods; Simulation Methods | eng |
| dc.subject.jel | C11 - Bayesian Analysis: General | eng |
| dc.subject.jel | E31 - Price Level; Inflation; Deflation | eng |
| dc.subject.jelspa | C11 - Análisis bayesiano: generalidades | spa |
| dc.subject.jelspa | C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión | spa |
| dc.subject.jelspa | C53 - Métodos de pronóstico y predicción; métodos de simulación | spa |
| dc.subject.jelspa | E31 - Nivel de precios; Inflación; Deflación | spa |
| dc.subject.keyword | Bayesian shrinkage | eng |
| dc.subject.keyword | Inflation forecast combination | eng |
| dc.subject.keyword | Internal forecasts | eng |
| dc.subject.keyword | Rolling window estimation | eng |
| dc.subject.lemb | Tasas de inflación -- Pronósticos -- Modelos | spa |
| dc.subject.lemb | Bancos centrales -- Modelos | spa |
| dc.subject.lemb | Inflación -- Intervención del estado -- Colombia -- 2002-2011 | spa |
| dc.subject.lemb | Análisis bayesiano | spa |
| dc.title | Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates | eng |
| dc.type | Working paper | eng |
| dc.type.hasversion | Published Version | eng |
| dc.type.spa | Documentos de Trabajo | spa |
Files
License bundle
1 - 1 of 1
- Name:
- license.txt
- Size:
- 7.52 KB
- Format:
- Item-specific license agreed upon to submission
- Description: