Predicción de la inflación nacional usando factores de la inflación internacional

Abstract

This paper evaluates the predictive ability of the international inflation on Peruvian inflation. Unlike other studies, this is based on time series models. First, a framework for evaluation of the hypothesis is constructed. After that, a measure of international inflation is added in the models that are part of the proposed framework, and it assesses whether there is an improvement in the prediction. The evaluation of forecasts is based on tests of Giacomini and White (2006), and Clark and West (2007). Also, thein sample analysis is madeto assess performance of the added variable. Four methodologies are used for the construction of international factors and it comparesthe ability of them in the Peruvian inflation forecasts. From the results it concludes that international inflation helps predict the Peruvian inflation in different time horizons. In addition, it is concluded that this predictive handover has grown in recent years. Keywords: Forecasts, time series, inflation, PCA, PLS.