2005•SSRN Electronic JournalOpen access

A BVAR Forecasting Model for Peruvian Inflation

Luis-Gonzalo Llosa, Vicente Tuesta Reátegui, Marco Vega

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Abstract

We build a simple non-structural BVAR forecasting framework to predict key Peruvian macroeconomic data. We build our Litterman prior specification based on the fact that the structure driving the dynamics of the economy might have shifted towards a state where a clear nominal anchor has become well grounded (Inflation Targeting). The different BVAR specifications do perform fairly well.

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What this paper is about

We build a simple non-structural BVAR forecasting framework to predict key Peruvian macroeconomic data. We build our Litterman prior specification based on the fact that the structure driving the dynamics of the economy might have shifted towards a state where a clear nominal anchor has become well grounded (Inflation Targeting). The different BVAR specifications do perform fairly well.

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Available abstract

We build a simple non-structural BVAR forecasting framework to predict key Peruvian macroeconomic data. We build our Litterman prior specification based on the fact that the structure driving the dynamics of the economy might have shifted towards a state where a clear nominal anchor has become well grounded (Inflation Targeting). The different BVAR specifications do perform fairly well.

Key concepts: Inflation (cosmology), Key (lock), Economics, Econometrics, Simple (philosophy), Computer science, Macroeconomics, Physics

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