In this paper we compare point and density forecasts generated by estimating AR and VAR models using disaggregated quarterly data of Chilean inflation. We motivate this comparison by our belief that, in the recent high inflation context, the use of the joint dynamics of the price index inflation...

We assess the role of real and nominal shocks on the real exchange rate (RER) dynamics for a set of small open economies. In doing so, we estimate a SVAR model for five inflation targeting countries: Australia, Canada, Chile, Israel and Norway. In sharp contrast with the existing empirical...