Simple ways to forecast inflation: what works best?

Brent Meyer and Mehmet Pasaogullari

Economic Commentary, 2010, issue Dec

Abstract: There are many ways to forecast the future rate of inflation, ranging from sophisticated statistical models involving hundreds of variables to hunches based on past experience. We generate a number of forecasts using a simple statistical model and an even simpler estimating rule, adding in various measures thought to be helpful in predicting the course of inflation. Then we compare their forecast accuracy. We find that no single specification outperforms all others over all time periods. For example, the median and 16 percent trimmed-mean measures outperform all other specifications during the 1990s, and survey-based inflation expectations seem to do better during volatile periods.

Keywords: Forecasting; Inflation (Finance) (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://doi.org/10.26509/frbc-ec-201017 Full Text (text/html)
https://www.clevelandfed.org/-/media/project/cleve ... t-works-best-pdf.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcec:y:2010:i:dec6:n:2010-17

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Economic Commentary from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library ().