Browsing by Author "Mora-Gómez, Carlos Roberto"
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- Combinación de proyecciones de inflación: nuevas metodologíasIn 2001 the Central Bank of Costa Rica developed a combination of inflation forecasts which constitutes the basis for the forecasts discussed in the Inflation Report, and which is the main tool for monthly passive forecasting. The individual forecast models were revised in 2008. Using these revisions as a starting point, this document focuses in assessing the performance of alternative methodologies for combination, including those which allow for the possibility of structural change. For the period June 1996 – October 2008, dynamic forecasts were calculated using the six forecast models developed by the Central Bank of Costa Rica. These forecasts were combined through weighted least squares, state-space and smooth transition methods. In general, these techniques resulted in a reduction of the forecast error in comparison with the original models and the current optimal combination. Applying weighted least squares to the Hallman and Kamstra framework for a horizon of 3 months allowed for a reduction in the forecast error while maintaining all weights positive. For horizons of 6, 12 and 24 months it was not possible to obtain a combination that reduced forecast errors and that included only positive weights.
- Índice de tensión financiera para Costa RicaIn this paper we present the Index of Financial Stress for the Costa Rican economy. This is a synthetic index constructed using weakly data from 20 variables of the Costa Rican financial system. The method of aggregation used is principal components where financial stress is assumed to be the main driving force behind the co-movement observed between these variables. The index is aimed to be a contemporaneous measure of the degree of stress in the financial system and is expected to be part of the analytic tools available for policy makers in order to assess the stability of the Costa Rican financial system. The index constructed tracks reasonably well various episodes of financial turmoil experienced in Costa Rica, especially, the ones related to the international financial crisis of 2008, the European debt crisis of 2010-2011 and the period of high capital inflows in late 2012.