Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83700
Authors: 
Ibarra-Ramírez, Raúl
Year of Publication: 
2010
Series/Report no.: 
Working Papers, Banco de México 2010-01
Abstract: 
In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We evaluate the role of using a wide range of macroeconomic variables with particular interest on the importance of using CPI disaggregated data to forecast inflation. Our data set contains 54 macroeconomic series and 243 CPI subcomponents from 1988 to 2008. Our results indicate that: i) Factor models outperform the benchmark autoregressive model at horizons of one, two, four and six quarters, ii) Using disaggregated price data improves forecasting performance, and iii) The factors are related to key variables in the economy such as output growth and inflation.
Subjects: 
Factor models
Inflation forecasting
Disaggregate information
Principal components
Forecast evaluation
JEL: 
C22
C53
E37
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
260.61 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.