The paper tests the unbiasedness of interest differentials and term structure as predictors of inflation differentials and inflation changes, respectively, using three-, sixand twelve-month maturities in eight major industrial countries over the period 1981—1992. The first hypothesis requires rational expectations (RE) and equality of ex-ante real interest rates, which in turn holds only in the...

Since Romer and Romer (2000), a large literature has dealt with the relative forecasting performance of Greenbook macroeconomic forecasts of the Federal Reserve. This paper empirically reviews the existing results by comparing the different methods, data and samples used previously. The sample period is extended compared to previous studies and both real-time and final data are considered. We c...

This study applies an approximate dynamic factor model to forecast three macroeconomic variables of Taiwan – inflation based on consumer price index, unemployment rate, and industrial production growth rate. Our data contain 95 macroeconomic variables of Taiwan and 89 international time series during 1981Q1-2006Q4. We perform out-of-sample forecasting from a rolling-window estimation scheme and...

T he consumer price index (CPI) measures the prices urban consumers pay for a representative basket of goods and services. The CPI is one of the most important measures of inflation. The prices of many products and services are directly linked to changes in the CPI. For instance, when the CPI increases, Social Security benefits and wages stated in labor contracts may rise as well. Forecasting f...

We perform a real-time forecasting exercise for US inflation, investigating whether and how additional information--additional macroeconomic variables, expert judgment, or forecast combination--can improve accuracy robustness. In our analysis we consider the pre-pandemic period including Global Financial Crisis following expansion--the longest on record--featuring unemployment that fell ...

Introduction Forecasting demand is both a science and an art. Econometric methods of forecasting, in the context of energy demand forecasting, can be described as ‘the science and art of specification, estimation, testing and evaluation of models of economic processes’ that drive the demand for fuels. The need and relevance of forecasting demand for an electric utility has become a much-discuss...