Inflation forecasts and core inflation measures: Where is the information on future inflation? ¬リニ
نویسندگان
چکیده
This paper brings together several strands of the inflation literature. Specifically, this paper uses the forecast from a random walk model of inflation as a benchmark to test and compare the forecast performance of several alternatives including the Greenbook forecast by the Fed staff, the Survey of Professional Forecasters median forecast, lagged CPI inflation minus food and energy, lagged CPI weighted median inflation, and lagged CPI trimmed mean inflation. The Greenbook forecast was found in previous literature to be a better forecast than other private sector forecasts. Our results indicate that both the Greenbook and the Survey of Professional Forecasters median forecasts of inflation and lagged core inflation measures may contain better information than forecasts from a random walk model. The Greenbook’s superiority appears to have declined against other forecasts and lagged core inflation measures.
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