A Forecasting Assessment of Market-Based PCE Inflation

Mark Bognanni

Economic Commentary, 2020, vol. 2020, issue 01

Abstract: This article explores the potential for market-based inflation measures to improve inflation forecasting. To do so, I compare the pseudo-real time forecasting performance of a suite of models for forecasting total or “headline” PCE inflation over the short and medium run. In the forecasting exercise, a simple model using only market-based core PCE inflation showed the best forecasting performance at all horizons.

Date: 2020
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DOI: 10.26509/frbc-ec-202001

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