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

Dandan Liu and Julie Smith

The Quarterly Review of Economics and Finance, 2014, vol. 54, issue 1, 133-137

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.

Keywords: Inflation forecasting; Core inflation; Greenbook forecasts; SPF forecasts (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:54:y:2014:i:1:p:133-137

DOI: 10.1016/j.qref.2013.07.006

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