Predicting PCE Using the Richmond Fed Price Measure

Zach Edwards, Pierre Daniel Sarte and Sonya Ravindranath Waddell
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Zach Edwards: https://www.richmondfed.org/region_communities/people/edwards2

Richmond Fed Economic Brief, 2025, vol. 25, issue 44

Abstract: The Richmond Fed survey measure of price changes comes out a month earlier than the PCE measure of inflation. Because the Richmond Fed price measure is known earlier, we can use the contemporaneous measure to provide an estimate of inflation. An empirical model with contemporaneous and past inflation changes — as measured by the Richmond Fed's price survey — notably reduces the out-of-sample forecast error obtained from a benchmark random walk model of inflation. Using the Richmond Fed price survey data prior to the release of September PCE, we forecast September PCE inflation to move from 2.7 percent in August to 2.9 percent year over year at an annualized rate.

Keywords: business surveys; inflation (search for similar items in EconPapers)
Date: 2025
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