Using wavelets to measure core inflation: the case in New Zealand

David Baqaee
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David Baqaee: Reserve Bank of New Zealand

No DP2009/05, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: This paper uses wavelets to develop a core inflation measure for inflation targeting central banks. The analysis is applied to the case of New Zealand – the country with the longest history of explicit inflation targeting. We compare the performance of our proposed measure against some popular alternatives. Our measure does well at identifying a reliable medium-term trend in inflation. It also has comparable forecasting performance to standard benchmarks.

JEL-codes: C32 E31 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-mon
Date: 2009-05
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Persistent link: http://EconPapers.repec.org/RePEc:nzb:nzbdps:2009/05

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