This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual inflation and inflation target, into predictable and...

An artificial neural network (hence after, ANN) is an information processing paradigm that is inspired by the way biological nervous systems, such as the brain, process information. In previous two decades, ANN applications in economics and finance; for such tasks as pattern reorganization, and...

This paper investigates the use of DMA approach for identifying good inflation predictors and forecasting inflation in Mongolia, one of the most commodity dependent economies, using dynamic model averaging (DMA). The DMA approach allows for both set of predictors for inflation and marginal...

This paper criticises the econometric inflation uncertainty proxies found in the literature, which show an overly optimistic picture about our real ability to forecast, and highlights the sharp contrast between the evidence portrayed by that literature and the evidence conveyed by the literature...

We develop a theoretical framework to compare forecast uncertainty estimated from time series models to those available from survey density forecasts. The sum of the average variance of individual densities and the disagreement, which is the same as the variance of the aggregate density, is...

This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook...

This study modelled and forecast inflation in Nigeria using the monthly Inflation rate series that spanned January 2003 to October 2020 and provided three years monthly forecast for the inflation rate in Nigeria. We examined 169 ARMA, 169 ARIMA, 1521 SARMA, and 1521 SARIMA models to identify the...