Nowcasting US inflation using a MIDAS augmented Phillips curve

Clément Marsilli

International Journal of Computational Economics and Econometrics, 2017, vol. 7, issue 1/2, 64-77

Abstract: We present a mixed-frequency model for real-time monitoring of US inflation. Our approach relies on a mixed-data sampling (MIDAS) augmented Phillips curve with daily oil prices for nowcasting inflation. In line with the literature we find that performances of inflation nowcasting models rely on two key elements: the inclusion of high-frequency oil prices and a rolling-window framework. Our approach succeeds in providing a policy-oriented tool for monitoring inflation in real-time.

Keywords: inflation nowcasting; MIDAS; mixed-data sampling; oil prices; US inflation; USA; United States; Phillips curve; inflation monitoring; rolling window; real-time monitoring. (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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