Alternative indicators for predicting the probability of declining inflation: Evidence from the US

Cambridge Journal of Economics

Volumn 28, Issue 1, 2004, Pages 37-57

  Kang, Sungjun ^a   Park, Kwangwoo ^b   Ratti, Ronald A ^c  

^a Ministry of Planning and Budget   (South Korea)

^b Chung Ang University   (South Korea)

^c UNIVERSITY OF MISSOURI   (United States)

Author keywords

Inflation indicators; Inflation targets; Keynesian Phillips curve; Out of sample forecast; Probit model

Indexed keywords

INFLATION; MEASUREMENT METHOD; NATIONAL TRADE; PERFORMANCE ASSESSMENT; PREDICTION;

EID: 0742305022     PISSN: 0309166X     EISSN: None     Source Type: Journal    
DOI: 10.1093/cje/28.1.37     Document Type: Article

References (35)

1. Aldrich, J. H. and Nelson, F. D. 1984. Linear Probability, Logit, and Probit Models. Sage University Paper series on Quantitative Applications in the Social Sciences, Beverly Hills, Sage
2. Bernanke, B. S. and Blinder, A. S. 1992. The federal funds rate and the channels of monetary transmission, American Economic Review, vol. 82, 901-21
3. Bernanke, B. S. and Mishkin, F. S. 1997. Inflation targeting: a new framework for monetary policy, Journal of Economic Perspectives, vol. 11, 97-116
4. Bernanke, B. S., Laubach T., Mishkin F. S. and Posen A. S. 1999. Inflation Targeting: Lessons from the International Evidence, Princeton, Princeton University Press
5. Bernard, H. and Gerlach S. 1998. Does the term structure predict recessions? the international evidence, International Journal of Finance and Economics, vol. 3, 195-215
6. Blanchard, O. J. 2000. Macroeconomics, Upper Saddle River, NJ, Prentice Hall
7. Blomberg, S. B. and Harris E. 1995. The commodity-consumer price connection: fact or fable?, Federal Reserve Bank of New York Economic Policy Review, 21-38
8. Boughton, J. and Branson, W. H. 1991. Commodity prices as a leading indicator of inflation, pp. 303-38 in Lahiri, K. and Moore, G. H. (eds), Leading Economic Indicators: New Approaches and Forecasting Records, Cambridge, Cambridge University Press
9. Cecchetti, S. G. 1995. Inflation indicator and inflation policy, in: Bernanke, B. S. and Rotemberg, J. F. (eds), NBER Macroeconomics Annual, Cambridge, MIT Press
10. Cody, B. J. and Mills, L. O. 1991. The role of commodity prices in formulating monetary policy, Review of Economics and Statistics, vol. 73, 358-65
11. Dasgupta, S. and Lahiri, K.. 1991. A leading indicator of inflation based on interest rates, pp. 339-53 in Lahiri, K. and Moore, G. H. (eds), Leading Economic Indicators: New Approaches and Forecasting Records, Cambridge, Cambridge University Press
12. Estrella, A. 1998. A new measure of fit for equations with dichotomous dependent variables, Journal of Business and Economic Statistics, vol. 16, 198-205
13. Estrella, A. and Mishkin, F. S. 1998. Predicting U. S. recessions: financial variables as leading indicators, Review of Economics and Statistics vol. 80, 45-61
14. Fama, E. F. 1975. Short-term interest rates as predictors of inflation, American Economic Review, vol. 65, 269-82
15. Garner, A. C. 1989. Commodity prices: policy target of information variable? a note, Journal of Money, Credit and Banking, vol. 21, 508-14
16. Gerlach, S. 1999. Who targets inflation explicitly?, European Economic Review, vol. 43, 1257-77
17. Greene, W. H. 1997. Econometric Analysis, 4th edn, New York, Prentice Hall
18. Jackman, R., Mulvey, C. and Trevithick, J. 1981. The Economics of Inflation, 2nd edn, Oxford, Martin Robinson
19. Kozicki, S. 1997. Predicting real growth and inflation with the yield spread, Federal Reserve Bank of Kansas City Economic Review, no. 4, 39-57
20. Lown, S. C. and Rich, R. W. 1997. Is there an inflation puzzle?, Federal Reserve Bank of New York Research Paper, no. 9723
21. McCallum, B. T. 1996. Inflation targeting in Canada, New Zealand, Sweden, the United Kingdom, and in general, NBER Working Paper, no. 5579
22. Mishkin, F. S. 1990. The information in the longer maturity term structure about future inflation, Quarterly Journal of Economics, vol. 25, 815-28
23. Mishkin, F. S. 1992. Is the Fisher effect for real?: A reexamination of the relationship between inflation and interest rates, Journal of Monetary Economics, vol. 30, 195-215
24. Mishkin, F. S. 1999. International experiences with different monetary policy regimes, Journal of Monetary Economics, vol. 43, 579-605
25. Mishkin, F. S. and Posen, A. S. 1997. Inflation targeting: lessons from four Countries, Federal Reserve Bank of New York Economic Policy Review, vol. 3, 9-115
26. Murphy, K. M. and Topel, R. 1997. Unemployment and nonemployment, American Economic Review, Papers and Proceedings, vol. 87, 295-300
27. Niemira, M. P. and Klein, P. A. 1994. Forecasting Financial and Economic Cycles, New York, John Wiley
28. Stock, J. H. and Watson, M. W. 1999. Forecasting inflation, Journal of Monetary Economics, vol. 44, 294-335
29. Svensson, L. E. 1999A. Inflation targeting as a monetary policy rule, Journal of Monetary Economics, vol. 43, 607-54
30. Svensson, L. E. 1999B. Inflation targeting: some extensions, Scandinavian Journal of Economics, vol. 101, 337-61
31. Trevithick, J. A. 1977. Inflation: A Guide to the Crisis in Economics, New York, Penguin Books
32. Trevithick, J. A. 1992. Involuntary Unemployment: Macroeconomics from a Keynesian Perspective, New York, St Martins Press
33. Walsh, C. E. 1999. Announcements, inflation targeting and central bank incentives, Economica, vol. 66, 255-69
34. Webb, R. H. and Rowe, T. S. 1994. An Index of Leading Indicators for Inflation, Richmond, Federal Reserve Bank of Richmond Research Department
35. Wilkinson, F. 2000. Inflation and employment: is there a third way, Cambridge Journal of Economics, vol. 24, 643-70