Using wavelets to measure core inflation: The case of New Zealand

David Baqaee

The North American Journal of Economics and Finance, 2010, vol. 21, issue 3, 241-255

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.

Keywords: Core; Inflation; Monetary; policy; Central; banks; Time; series; Wavelets (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (10)

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Working Paper: Using wavelets to measure core inflation: the case in New Zealand (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:21:y:2010:i:3:p:241-255

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