arXiv 23 May 2020 · Econometrics
arXiv:2005.11455 · PDF · DOI · OpenAlex · Extracted main text
The aim of this paper is to investigate the use of the Factor Analysis in order to identify the role of the relevant macroeconomic variables in driving the inflation. The Macroeconomic predictors that usually affect the inflation are summarized using a small number of factors constructed by the principal components. This allows us to identify the crucial role of money growth, inflation expectation and exchange rate in driving the inflation. Then we use this factors to build econometric models to forecast inflation. Specifically, we use univariate and multivariate models such as classical autoregressive, Factor models and FAVAR models. Results of forecasting suggest that models which incorporate more economic information outperform the benchmark. Furthermore, causality test and impulse response are performed in order to examine the short-run dynamics of inflation to shocks in the principal factors.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Stock, J. and M. Watson (2002) ; Forecasting Using Principal Components From a Large Number of Predictors, Journal of the American Statistical Association, Vol… | 0.737 | 3 | 2 | 100% |
| 2 | Diebold, F.X. and Mariano, R (1995) ; Comparing Predictive Accuracy, Journal of Business and Economic Statistics, 13, 253-265 | 0.644 | 2 | 2 | 100% |
| 3 | Christopher F. Baum (2003) ; DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy, Boston College Department of Economics, r… | 0.405 | 1 | 1 | 100% |
| 4 | Bernanke B. S., Boivin J.,Eliasz P (2005) ; Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach | 0.405 | 1 | 1 | 100% |
| 5 | Cagan, P (1956) ; The Monetary Dynamics of Hyperinflation | 0.405 | 1 | 1 | 100% |
| 6 | Dickey, D. A., and W. A. Fuller (1979) ; Distribution of the estimators for autoregressive time series with a unit root | 0.405 | 1 | 1 | 100% |
| 7 | Basco E., D’Amato L., Garegnani L (2006) ; Understanding the money - prices relationship under low and high inflation regimes: Argentina 1970 - 2005, Investigaciones Eco… | 0.405 | 1 | 1 | 100% |
| 8 | Granger, C. W. J (1969) ; Investigating causal relations by econometric models and crossspectral methods | 0.405 | 1 | 1 | 100% |
| 9 | Hamilton, J. D (1994) ; Time Series Analysis | 0.405 | 1 | 1 | 100% |
| 10 | MacKinnon, J. G (1994) ; Approximate asymptotic distribution functions for unitroot and cointegration tests, Journal of Business and Economic Statistic… | 0.405 | 1 | 1 | 100% |
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