A Century of Inflation Forecasts

Antonello D'Agostino and Paolo Surico

The Review of Economics and Statistics, 2012, vol. 94, issue 4, 1097-1106

Abstract: We investigate inflation predictability in the United States across the monetary regimes of the twentieth century. The forecasts based on money growth and output growth were significantly more accurate than the forecasts based on past inflation only during the regimes associated with neither a clear nominal anchor nor a credible commitment to fight inflation. These include the years from the outbreak of World War II in 1939 to the implementation of the Bretton Woods Agreements in 1951 and from Nixon's closure of the gold window in 1971 to the end of Volcker's disinflation in 1983. © 2012 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Keywords: inflation; predictability; monetary regimes; Phillips curve; time-varying models (search for similar items in EconPapers)
JEL-codes: E37 E42 E47 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (22)

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