Forecasting US Inflation in Real Time

Chad Fulton and Kirstin Hubrich ()
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Chad Fulton: Board of Governors of the Federal Reserve System, 20th and Constitution Ave NW, Washington, DC 20551, USA

Econometrics, 2021, vol. 9, issue 4, 1-20

Abstract: We analyze real-time forecasts of US inflation over 1999Q3–2019Q4 and subsamples, investigating whether and how forecast accuracy and robustness can be improved with additional information such as expert judgment, additional macroeconomic variables, and forecast combination. The forecasts include those from the Federal Reserve Board’s Tealbook, the Survey of Professional Forecasters, dynamic models, and combinations thereof. While simple models remain hard to beat, additional information does improve forecasts, especially after 2009. Notably, forecast combination improves forecast accuracy over simpler models and robustifies against bad forecasts; aggregating forecasts of inflation’s components can improve performance compared to forecasting the aggregate directly; and judgmental forecasts, which may incorporate larger and more timely datasets in conjunction with model-based forecasts, improve forecasts at short horizons.

Keywords: inflation; Phillips curve; survey forecasts; Tealbook forecasts; forecast combination (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2021
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Working Paper: Forecasting US Inflation in Real Time (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:9:y:2021:i:4:p:36-:d:652685

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