Latin American Journal of Central Banking最新文献_第7页

Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models 巴西通货膨胀预测的机器学习方法:新竞争者与经典模型

Latin American Journal of Central Banking Pub Date : 2023-06-01 DOI: 10.1016/j.latcb.2023.100087

Gustavo Silva Araujo , Wagner Piazza Gaglianone

{"title":"Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models","authors":"Gustavo Silva Araujo , Wagner Piazza Gaglianone","doi":"10.1016/j.latcb.2023.100087","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100087","url":null,"abstract":"<div><p>In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out-of-sample forecasting exercise is designed with multiple horizons, a large database of 501 series, and 50 forecasting methods, including new ML techniques proposed here, traditional econometric models and forecast combination methods. We also provide tools to identify the key variables to predict inflation, thus helping to open the ML black box. Despite the evidence of no universal best model, the results indicate that ML methods can, in numerous cases, outperform traditional econometric models in terms of mean-squared error. Moreover, the results indicate the existence of nonlinearities in the inflation dynamics, which are relevant to forecasting inflation. The set of top forecasts often includes forecast combinations, tree-based methods (such as random forest and xgboost), breakeven inflation, and survey-based expectations. Altogether, these findings offer a valuable contribution to macroeconomic forecasting, especially, focused on Brazilian inflation.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 2","pages":"Article 100087"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49881158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Exchange rate volatility and the effectiveness of FX interventions: The case of Chile 汇率波动与外汇干预的有效性:以智利为例

Latin American Journal of Central Banking Pub Date : 2023-06-01 DOI: 10.1016/j.latcb.2023.100086

Alejandro Jara, Marco Piña

引用次数: 1

The impact of monetary policy on a labor market with heterogeneous workers: The case of Chile 货币政策对劳动力市场异质性的影响:以智利为例

Latin American Journal of Central Banking Pub Date : 2023-06-01 DOI: 10.1016/j.latcb.2023.100092

Carlos Madeira , Leonardo Salazar

引用次数: 1

Policy responses to COVID-19 in Uruguay 乌拉圭应对COVID-19的政策

Latin American Journal of Central Banking Pub Date : 2023-06-01 DOI: 10.1016/j.latcb.2023.100085

Elizabeth Bucacos , Patricia Carballo , Miguel Mello , Jorge Ponce

引用次数: 2

Untangling crises: GFC and COVID-19 through the lens of a DSGE model 化解危机:通过DSGE模型透视全球金融危机和COVID-19

Latin American Journal of Central Banking Pub Date : 2023-06-01 DOI: 10.1016/j.latcb.2023.100091

Rogelio De La Peña , Ignacio García

引用次数: 1

An empirical analysis of debit card interchange fee regulation: Evidence from Brazil 借记卡交换费监管的实证分析——来自巴西的证据

Latin American Journal of Central Banking Pub Date : 2023-03-01 DOI: 10.1016/j.latcb.2022.100078

Daniel Tavares de Castro , Emerson Erik Schmitz , Monique de Abreu Azevedo

引用次数: 0

A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico 评估巴西和墨西哥宏观金融风险的BVAR工具包

Latin American Journal of Central Banking Pub Date : 2023-03-01 DOI: 10.1016/j.latcb.2022.100079

Erik Andres–Escayola , Juan Carlos Berganza , Rodolfo G. Campos , Luis Molina

引用次数: 19

Erratum regarding missing Declaration of Competing Interest statements in previously published articles 关于先前发表的文章中遗漏竞争利益声明的勘误表

Latin American Journal of Central Banking Pub Date : 2023-03-01 DOI: 10.1016/j.latcb.2023.100089

引用次数: 0

Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis 金砖国家汇率价格效率的比较分析

Latin American Journal of Central Banking Pub Date : 2023-03-01 DOI: 10.1016/j.latcb.2022.100081

Natalia Diniz-Maganini , Abdul A. Rasheed , Hsia Hua Sheng

引用次数: 2

Policy mix in a small open emerging economy with commodity prices 具有大宗商品价格的小型开放型新兴经济体的政策组合

Latin American Journal of Central Banking Pub Date : 2023-03-01 DOI: 10.1016/j.latcb.2022.100082

Marine C. André, Alberto Armijo, Sebastián Medina Espidio, Jamel Sandoval

{"title":"Policy mix in a small open emerging economy with commodity prices","authors":"Marine C. André, Alberto Armijo, Sebastián Medina Espidio, Jamel Sandoval","doi":"10.1016/j.latcb.2022.100082","DOIUrl":"https://doi.org/10.1016/j.latcb.2022.100082","url":null,"abstract":"<div><p>The article analyzes the interaction between monetary and fiscal policy in Mexico. We calibrated a semi-structural model for a small open economy, based on Aguilar and Ramírez-Bulos (2018), for Mexico by using quarterly data from 2001Q1 to 2019Q4. The fiscal policy block models the fiscal deficit depending on output, an endogenous sovereign risk premium, a state-owned oil company, and public debt dynamics with domestic and foreign components. We assumed a fiscal rule whereby the deficit has an upper bound. The monetary policy follows a Taylor rule. We study the effects of different shocks on the economy, such as a drop in commodity prices, an expansion of public spending, an increase in the risk premium, a hike in the interest rate, and depreciation of the real exchange rate. We show that, remarkably, the risk premium channel transmits threats from the fiscal block to the monetary block, calling for the central bank to stabilize inflation. By contrast, starting at the economy’s steady state, an exogenous monetary policy shock affects the fiscal block mainly through the interest rate’s influence on the debt service, prompting a fiscal response to stabilize deficit.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 1","pages":"Article 100082"},"PeriodicalIF":0.0,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50195220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1