Inflation forecasts and core inflation measures: Where is the information on future inflation?

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Abstract
  • 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 of future inflation, including the Greenbook forecast by the Fed staff, the Survey of Professional Forecasters median forecast, CPI inflation minus food and energy, CPI weighted median inflation, and 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 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 core inflation measures.
TitleInflation forecasts and core inflation measures: Where is the information on future inflation?
CreatorSmith, Julie K.
Liu, D.
PublisherQuarterly Review of Economics and Finance
Academic DepartmentEconomics
DivisionSocial Sciences
OrganizationLafayette College
Date IssuedFebruary 2014
Date Available2015-02-09T22:13:15Z
TypeArticle
LanguageEnglish
KeywordGreenbook forecasts
inflation forecasting
core inflation
SPF forecasts
Bibliographic CitationLiu, D. and J. K. Smith (2014 Feb.) "Inflation forecasts and core inflation measures: Where is the information on future inflation?" Quarterly Review of Economics and Finance 54 (1): 131-7.
Standard IdentifierHandle 10385/1593
DOI doi:10.1016/j.qref.2013.07.006
Permalinkhttp://hdl.handle.net/10385/1593
Rights Statement In Copyright In Copyright
Rights HoldersThe Board of Trustees of the University of Illinois
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