U.S. Core Inflation: A Wavelet Analysis

John Cotter and Kevin Dowd (kevin.dowd@hotmail.co.uk)

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based measures for their performance in following trend inflation and predicting future inflation. Results suggest that wavelet-based measures perform better, and sometimes much better, than the traditional approaches. These results suggest that wavelet methods are a promising avenue for future research on core inflation.

Keywords: core inflation; wavelets; trend inflation; inflation prediction (search for similar items in EconPapers)
JEL-codes: E47 E50 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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https://mpra.ub.uni-muenchen.de/3520/1/MPRA_paper_3520.pdf original version (application/pdf)

Related works:
Journal Article: U.S. CORE INFLATION: A WAVELET ANALYSIS (2011)
Working Paper: U.S. Core Inflation: A Wavelet Analysis (2011)
Working Paper: U.S. Core Inflation: A Wavelet Analysis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3520

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