Predictability of Competing Measures of Core Inflation: An Application for Peru
Abstract
A central element of an inflation targeting approach to monetary policy is a proper measure of inflation. The international evidence suggests the use of core inflation measures. In this paper we claim that core inflation should be measured as the underlying trend of inflation that comes from nominal shocks that have no real effect in the long term. However, most of the time core inflation is computed zero weighting observations at the tail of the inflation distribution. Quah and Vahey (1996) proposed a method of computing core inflation imposing theory restrictions to a SVAR specification. In this paper we present estimation for Peruvian data and compare the predictability properties of competing measures of inflation following an idea of Diebold and Killian (1997).
How to Cite
MorónE., & Zegarra, L. F. (1). Predictability of Competing Measures of Core Inflation: An Application for Peru. Economic Analysis Review, 14(2), 3-21. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/112
Issue
Section
Articles
Upon submission of an article, authors are asked to indicate their agreement to abide by an open-access license. The license permits any user to download, print out, extract, archive, and distribute the article, so long as appropriate credit is given to the authors of the work. The license ensures that your article will be as widely available as possible and that your article can be included in any scientific archive. Please read about the Creative Commons Attribution License before submitting your paper.
Except where otherwise noted, content on this site is licensed under a Creative Commons Attribution 3.0 License
