Forecasting inflation: Phillips curve effects on services price measures

Ellis Tallman and Saeed Zaman

International Journal of Forecasting, 2017, vol. 33, issue 2, 442-457

Abstract: We estimate an empirical model of inflation that exploits a Phillips curve relationship between a measure of unemployment and a sub-aggregate measure of inflation (services). We generate an aggregate inflation forecast from forecasts of the goods sub-component, separate from the services sub-component, and compare the aggregated forecast to the leading time series univariate and standard Phillips curve forecasting models. Our results indicate marked improvements in point and density forecasting accuracy statistics for models that exploit relationships between services inflation and the unemployment rate.

Keywords: Inflation forecasting; Phillips curve; Disaggregated inflation forecasting models; Trend-cycle model; Density combinations (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (25)

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Working Paper: Forecasting Inflation: Phillips Curve Effects on Services Price Measures (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:33:y:2017:i:2:p:442-457

DOI: 10.1016/j.ijforecast.2016.10.004

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