In this paper we analyze the Chilean Consumer Price Index (CPI) with respect to ten price indexes representing the average price faced by ten different income groups. We construct these indexes using information from two versions of the Household Expenditure Survey: that obtained for the period...

In this paper we analyze the contribution of international measures of inflation to predict local ones. To that end, we consider the set of current thirty one OECD economies for which inflation data is available at a monthly frequency. By considering this set of countries, a span of time...

In this paper we examine the ability that entrepreneurial sentiment indicators may have to predict year-on-year aggregate and sectoral employment in Chile. When focusing only on the predictive relationship between sentiment indicators and y-o-y employment, putting aside the autocorrelation...

We show that some standard measures of inflation persistence in Chile have increased sharply in recent years. For the sample period between August 1998 and July 2008 we found that the half life of a shock to headline inflation is about 3 years. This is much higher that the half life of about 1...

We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test proposed by Anatolyev and Gerco when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess...

In this paper we build forecasts for Chilean year-on-year inflation using simple time-series models augmented with different measures of international inflation. Broadly speaking, we construct two families of international inflation factors. The first family is built using year-on-year inflation...

In this paper we explore the role that exchange rate interventions may play in determining inflation expectations in Chile. To that end, we consider a set of nine deciles of inflation expectations coming from the survey of professional forecasters carried out by the Central Bank of Chile. We...

The use of different time-series models to generate forecasts is fairly usual in the forecasting literature in general, and in the inflation forecast literature in particular. When the predicted variable is stationary, the use of processes with unit roots may seem counterintuitive. Nevertheless,...

The Central Bank of Chile builds inflation forecasts for several time horizons and using various methodologies. In this paper, we analyze one of these series of short-term inflation forecasts, which we call Auxiliary Inflation Forecasts (AIF), comparing them to forecasts made by private analysts...

We explore the ability of several univariate models to predict inflation in a number of countries and at several forecasting horizons. We place special attention on forecasts coming from a family of ten seasonal models that we call the Driftless Extended Seasonal ARIMA (DESARIMA) family. Using...