Quarterly Projection Model: 2019 Update.
Por Aguirre, Jhon; Arrieta, Johar; Luis Castillo ; Florián, David; Alan Ledesma ; Martínez, Jeffesron; Morales, Valeria; Vélez, Amilcar
July 2022
Idioma: Spanish
Resumen:
This paper presents a new version of the Quarterly Projection Model that has been used for macroeconomic forecasting and monetary policy and risk scenario analysis by the Economic Studies Department at the Central Reserve Bank of Peru between 2014 and 2019. We show the main modifications to the model’s structure since its last published version (2014), as well as the estimation results using data from 2002 to 2017. Then, we proceed to discuss the consequences of these changes in terms of the model’s dynamics and its forecast performance. The non-observable variables resulting from the estimation process, including the output gap and the potential output growth, are also displayed. Finally, we recount the recent history of the main macroeconomic aggregates from the model’s perspective using a historical decomposition technique.