index (CPI). In contrast with previous international studies, the results suggest that, in the case of Mexico, information … on the PPI seems to be useful to improve forecasts of CPI inflation. In particular, CPI inflation responds significantly … to disequilibrium errors with respect to the long-run relationship between consumer and producer prices. These results …

In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We … disaggregated data to forecast inflation. Our data set contains 54 macroeconomic series and 243 CPI subcomponents from 1988 to 2008 … key variables in the economy such as output growth and inflation. -- Factor models ; Inflation forecasting ; Disaggregate …

inflation’s total variation in Mexico. In this context, we study the performance of seasonal time series models to forecast …Since the adoption of inflation targeting, the seasonal appears to be the component that explains the major part of … short-run inflation. Using multi-horizon evaluation techniques, we examine the real-time forecasting performance of four …