Economics at your fingertips  

Nowcasting U.S. Headline and Core Inflation

Edward Knotek () and Saeed Zaman

Journal of Money, Credit and Banking, 2017, vol. 49, issue 5, 931-968

Abstract: Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious model for nowcasting headline and core inflation in the U.S. consumer price index and price index for personal consumption expenditures that relies on relatively few variables. The model's nowcasting accuracy improves as information accumulates over a month or quarter, outperforming statistical benchmarks. In real‐time comparisons, the model's headline inflation nowcasts substantially outperform those from the Blue Chip consensus and the Survey of Professional Forecasters. Across all four inflation measures, the model's nowcasting accuracy is comparable to that of the Federal Reserve Board's Greenbook.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)

Related works:
Working Paper: Nowcasting U.S. Headline and Core Inflation (2014)
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:

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-11-13
Handle: RePEc:wly:jmoncb:v:49:y:2017:i:5:p:931-968