to the Bank of Canada. Thanks to Jean-Pierre Aubry, Chantal Dupasquier, Dave Longworth, Thérèse Laflèche, Paul Gilbert, Richard Dion, Seamus Hogan, Tiff Macklem and Dinah Maclean for their helpful discussions and comments and to Frédéric Beauregard-Tellier for excellent research assistance. Thanks to Scott Roger for the methodology used to calculate measures of weighted skewness and weighted ku...

This paper compares the ability of four indicators of underlying or ‘core’ inflation to forecast inflation in the French case. Though most indicators Granger-cause inflation, results from out of sample tests of forecast accuracy are less compelling. The results nevertheless seem to give some empirical support to trimmed mean indicators.  2000 Elsevier Science S.A. All rights reserved.

Traditionally, policymakers and financial markets have regarded the “core” consumer price index (CPI) as a key inflation indicator. The core CPI, a special index published by the Bureau of Labor Statistics (BLS), excludes the volatile prices of food and energy. In excluding these components, BLS recognizes that prices that swing dramatically in response to unusual shifts in weather and other un...