Forecasting in#ation
نویسندگان
چکیده
This paper investigates forecasts of US in#ation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out-of-sample forecasting framework. In#ation forecasts produced by the Phillips curve generally have been more accurate than forecasts based on other macroeconomic variables, including interest rates, money and commodity prices. These forecasts can however be improved upon using a generalized Phillips curve based on measures of real aggregate activity other than unemployment, especially a new index of aggregate activity based on 168 economic indicators. ( 1999 Elsevier Science B.V. All rights reserved. JEL classixcation: E31; C32
منابع مشابه
Forecasting UK In ation: Empirical Evidence on Robust Forecasting Devices
Forecasting in ation is fundamental to UK monetary policy, both for policy-makers and private agents. However, forecast failure is prevalent with naive devices often outperforming the dominant congruent in-sample model in forecasting competitions. This paper assesses evidence for UK annual and quarterly in ation using the theoretical framework developed by Clements and Hendry (1998, 1999) to ex...
متن کاملMeasuring core in‡ation in Italy
In this paper the long-run trend in CPI in‡ation (core in‡ation) for Italy is estimated over the 1962-1997 period within the framework of a multivariate common trends model. In this framework core in‡ation is directly linked to money and wage growth and interpreted as the long-run forecast of in‡ation. This measure displays several desirable properties: lower variability than observed in‡ation,...
متن کاملUsing Time Distance to select forecasting models of in ation
This paper applies time distance, suggested by Granger and Jeon (1997), to models of in ation. The commonly used metric of forecast performance, mean squared forecasting error, measures how vertically close the forecast is to the series to be predicted; time distance instead measures the leading and lagging properties, often leading to significantly di erent conclusions about relative performan...
متن کاملThe Superiority of Greenbook Forecasts and the Role of Recessions
In this paper, we examine the role of recessions on the relative forecasting performance of the Fed and the private sector. Romer and Romer (2000) show that the Feds forecasts of ination and output were superior to that of the private sector for the pre-1991 period. DAgostino and Whelan (2007) ndings suggest that the information superiority of the Fed deteriorated after 1991. Our results sh...
متن کاملA New Model of Trend Ination
This paper introduces a new model of trend ination. In contrast to many earlier approaches, which allow for trend ination to evolve according to a random walk, ours is a bounded model which ensures that trend ination is constrained to lie in an interval. The bounds of this interval can either be xed or estimated from the data. Our model also allows for a time-varying degree of persistence i...
متن کامل