Forecasting Inflation

Handbook of Economic Forecasting

Volumn 2, Issue PARTA, 2013, Pages 1-55

  Faust, Jon ^a   Wright, Jonathan H ^a  

^a JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

Disaggregate forecasts; Inflation compensation; Nowcasting; Shifting endpoints; Shrinkage; Survey forecasts

Indexed keywords

EID: 84881596979     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: None     Document Type: Article

References (133)

1. Adam, Klaus, Padula, Mario, 2003. Inflation dynamics and subjective expectations in the United States. Working Paper.
2. Ahmed Shagil, Levin Andrew T., Wilson Beth Anne Recent improvements in US macroeconomic stability: good policy, good practices, or good luck?. Review of Economics and Statistics 2004, 86:824-832.
3. Aiolfi Marco, Capistran Carlos, Timmermann Allan Forecast Combinations. Oxford Handbook of Economic Forecasting 2010, Oxford University Press, Oxford. M.P. Clements, D.F. Hendry (Eds.).
4. Andreou, Elena, Ghysels, Eric, Kourtellos, Andros, 2008. Should macroeconomic forecasters look at daily financial data? Working Paper.
5. Ang Andrew, Piazzesi Monika A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 2003, 50:745-787.
6. Ang Andrew, Bekaert Geert, Wei Min Do macro variables, asset markets or surveys forecast inflation better?. Journal of Monetary Economics 2007, 54:1163-1212.
7. Arai, Natsuki, 2012. Using forecast evaluation to improve accuracy of the greenbook forecast. Working Paper.
8. Atkeson Andrew, Ohanian Lee E. Are Phillips curves useful for forecasting inflation?. Federal Reserve Bank of Minneapolis Quarterly Review 2001, 25:2-11.
9. Bai Jushan, Ng Serena Forecasting economic time series using targeted predictors. Journal of Econometrics 2008, 146:304-317.
10. Ball Laurence, Mazumder Sandeep Inflation dynamics and the great recession. Brookings Papers on Economic Activity 2011, 1:337-387.
11. Ball Laurence, Mankiw N.Gregory, Romer David The new Keynesian economics and the output-inflation trade-off. Brookings Papers on Economic Activity 1988, 1:1-65.
12. Banbura Marta, Giannone Domenico, Modugno Michele, Reichlin Lucrezia Nowcasting. Handbook of Economic Forecasting 2012, vol. 2. forthcoming, Elsevier, Amsterdam. A. Timmermann, G. Elliott (Eds.).
13. Barnes Michelle L., Olivei Giovanni P. Inside and outside bounds: threshold estimates of the Phillips curve. New England Economic Review 2003, 1-18.
14. Bates John M., Granger Clive W.J. The combination of forecasts. Operations Research Quarterly 1969, 20:451-468.
15. Bermingham, Colin, D'Agostino, Antonello, 2011. Understanding and forecasting aggregate and disaggregate price dynamics, ECB Working Paper 1365.
16. Bernanke Ben S., Boivin Jean Monetary policy in a data-rich environment. Journal of Monetary Economics 2003, 50:525-546.
17. Bernanke Ben S., Woodford Michael Inflation forecasts and monetary policy. Journal of Money, Credit and Banking 1997, 29:653-684.
18. Bernanke Ben S., Boivin Jean, Eliasz Piotr Measuring monetary policy: a factor augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics 2005, 120:387-422.
19. Bilke Laurent, Stracca Livio A persistence-weighted measure of core inflation in the Euro area. Economic Modelling 2007, 24:1032-1047.
20. Blinder Alan S. Commentary on Alternative Strategies for Aggregating Prices. Federal Reserve Bank of Saint Louis Review 1997, 3:139-142.
21. Brayton, Flint, Roberts, John. M., Williams, John C., 1999. What's happened to the Phillips curve? FEDS Discussion Paper, 99-49.
22. Britton Erik, Fisher Paul, Whitley John The inflation report projections: understanding the fan chart. Bank of England Quarterly Bulletin 1998, 38:30-37.
23. Bryan Michael F., Cecchetti Stephen G. Measuring Core Inflation in Policy 1994, Chicago University Press, Chicago. M.N. Gregory (Ed.).
24. Bryan Michael F., Meyer Brent Are some prices in the CPI more forward looking than others? We think so. Federal Reserve Bank of Atlanta Economic Commentary 2010, 2010-2012.
25. Campbell John Y., Shiller Robert J. A Scorecard for Indexed Government Debt. National Bureau of Economic Research Macroeconomics Annual 1996, MIT Press.
26. Campbell John Y., Shiller Robert J., Viceira Luis M. Understanding inflation-indexed bond markets. Brookings Papers on Economic Activity 2009, 1:79-120.
27. Christensen, Jens H.E., Lopez, Jose A., Rudebusch, Glenn D., 2011. Extracting deflation probability forecasts from Treasury yields. Federal Reserve Bank of San Francisco. Working Paper, 2011-10.
28. Clark Todd E. Real-time density forecasts from VARs with stochastic volatility. Journal of Business and Economic Statistics 2011, 29:327-341.
29. Clark, Todd E., McCracken, Michael W., 2009a. Nested forecast model comparisons: a new approach to testing equal accuracy. Federal Reserve Bank of Kansas City. Working Paper, 2009-11.
30. Clark Todd E., McCracken Michael W. Tests of equal predictive ability with real-time data. Journal of Business and Economic Statistics 2009, 27:441-454.
31. Clark, Todd E., McCracken, Michael W., forthcoming. Advances in forecast evaluation. In: Timmermann, Allan, Elliott, Graham, (Eds.), Handbook of Economic Forecasting, vol. 2. Elsevier, Amsterdam.
32. Clark, Todd E., Taeyoung, Doh, 2011. A bayesian evaluation of alternative models of trend inflation. Working Paper.
33. Clark Todd E., West Kenneth D. Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 2007, 138:291-311.
34. Clements Michael P. Evaluating the Bank of England density forecasts of inflation. Economic Journal 2004, 114:855-877.
35. Cogley Timothy, Sargent Thomas J. Drifts and volatilities: monetary policies and outcomes in the post World War II US. Review of Economic Dynamics 2005, 8:262-302.
36. Cogley Timothy, Sbordone Argia M. Trend inflation, indexation, and inflation persistence in the New Keynesian Phillips curve. American Economic Review 2008, 98:2101-2126.
37. Cogley Timothy, Primiceri Giorgio, Sargent Thomas J. Inflation-gap persistence in the US. American Economic Journal: Macroeconomics 2010, 2:43-69.
38. Croushore, Dean 2008. Revisions to PCE inflation measures: implications for monetary policy. Working Paper.
39. Croushore Dean An evaluation of inflation forecasts from surveys using real-time data. BE Journal of Macroeconomics, Contributions 2010, 10.
40. Croushore Dean Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds. Journal of Business and Economic Statistics 2012, 30:17-20.
41. Cutler, Joanne, 2001. A new measure of core inflation in the UK. Working Paper.
42. D'Amico, Stefania, Kim, Don H., Wei, Min, 2010. Tips from TIPS: the informational content of Treasury inflation-protected security prices, FEDS Discussion Paper, 2010-19.
43. De Graeve Ferris, Emiris Marina, Wouters Rafael A structural decomposition of the US yield curve. Journal of Monetary Economics 2009, 56:545-559.
44. Del Negro Marco, Eusepi Stefano Fitting observed inflation expectations. Journal of Economic Dynamics and Control 2011, 35:2105-2131.
45. Detmeister, Alan K., 2011. The usefulness of core PCE inflation measures, FEDS Discussion Paper, 2011-56.
46. Detmeister, Alan K., 2012. What should core inflation exclude? FEDS Discussion Paper, 2012-43.
47. Diebold Francis X., Li Canlin Forecasting the term structure of government bond yields. Journal of Econometrics 2006, 130:337-364.
48. Diebold Francis X., Mariano Roberto S. Comparing predictive accuracy. Journal of Business and Economic Statistics 1995, 13:253-263.
49. Diebold Francis X., Tay Anthony S., Wallis Kenneth F. Evaluating density forecasts of inflation: the survey of professional forecasters. Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger 1995, Oxford University Press, Oxford. R.F. Engle, H. White (Eds.).
50. Diebold Francis X., Rudebusch Glenn D., Boragan Aruoba S. The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 2006, 131:309-338.
51. Dotsey, Michael, Fujita, Shigeru, Stark, Tom, 2011. Do Phillips curves conditionally help to forecast inflation. Working Paper.
52. Edge Rochelle, Gürkaynak Refet S. How useful are estimated DSGE model forecasts for central bankers. Brookings Papers on Economic Activity 2010, 2:209-244.
53. Edge Rochelle, Kiley Michael T., Laforte Jean-Philippe A comparison of forecast performance between Federal Reserve staff Forecasts, simple reduced-form models, and a DSGE model. Journal of Applied Econometrics 2010, 25:720-754.
54. Elliott Graham, Komunjer Ivana, Timmermann Allan Estimation and testing of forecast rationality under flexible loss. Review of Economic Studies 2005, 72:1107-1125.
55. Engle Robert F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982, 50:987-1007.
56. Faust Jon, Wright Jonathan H. Efficient forecast tests for conditional policy forecasts. Journal of Econometrics 2008, 146:293-303.
57. Faust Jon, Wright Jonathan H. Comparing Greenbook and reduced form forecasts using a large real-time dataset. Journal of Business and Economic Statistics 2009, 27:468-479.
58. Faust Jon, Wright Jonathan H. Efficient prediction of excess returns. Review of Economics and Statistics 2011, 93:647-659.
59. Fernandez Carmen, Ley Eduardo, Steel Mark F.J. Model uncertainty in cross-country growth regressions. Journal of Applied Econometrics 2001, 16:563-576.
60. Filardo Andrew J. New evidence on the output cost of fighting inflation. Federal Reserve Bank of Kansas City Economic Review (3rd quarter) 1998, 33-61.
61. Fleckenstein, Matthias, Longstaff, Francis A., Lustig, Hanno, 2010. Why does the Treasury issue TIPS? The TIPS-Treasury bond puzzle. NBER Working Paper, 16358.
62. Gali Jordi, Gertler Mark Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 1999, 44:195-222.
63. Giacomini Raffaella, Rossi Barbara Forecast comparisons in unstable environments. Journal of Applied Econometrics 2010, 25:595-620.
64. Giacomini Raffaella, Rossi Barbara Advances in forecasting under model instability. Handbook of Economic Forecasting 2012, vol. 2. Elsevier, Amsterdam, forthcoming.
65. Giacomini Raffaella, White Halbert Tests of conditional predictive ability. Econometrica 2006, 74:1545-1578.
66. Giannone Domenico, Reichlin Lucrezia, Small David Nowcasting GDP: the real time informational content of macroeconomic data releases. Journal of Monetary Economics 2008, 55:665-676.
67. Giordani Paolo, Söderlind Paul Inflation forecast uncertainty. European Economic Review 2003, 47:1037-1059.
68. Gonzáles, Andrés, Hubrich, Kirstin, Teräsvirta, Timo, 2011. Forecasting inflation with gradual regime shifts and exogenous information. ECB Working Paper, 1363.
69. Gordon Robert J. Inflation, flexible exchange rates, and the natural rate of unemployment. Workers, Jobs and Inflation 1982, The Brookings Institution, Washington. M.N. Baily (Ed.).
70. Gordon Robert J. Foundations of the goldilocks economy: supply shocks and the time-varying NAIRU. Brookings Papers on Economic Activity 1998, 2:297-333.
71. Greenspan Alan Statement to the Congress. Federal Reserve Bulletin 1992, 603-607.
72. Groen Jan J.J., Kapetanios George, Price Simon A Real time evaluation of Bank of England forecasts of inflation and growth. International Journal of Forecasting 2009, 25:74-80.
73. Groen, Jan J.J., Paap, Richard, Ravazzolo, Francesco, 2009. Real-time inflation forecasting in a changing World. Federal Reserve Bank of New York Staff Reports, 388.
74. Gürkaynak Refet S., Sack Brian P., Swanson Eric T. The sensitivity of long-term interest rates to economic news: evidence and implications for macroeconomic models. American Economic Review 2005, 95:425-436.
75. Gürkaynak Refet S., Sack Brian P., Wright Jonathan H. The US Treasury yield curve: 1961 to the present. Journal of Monetary Economics 2007, 54:2291-2304.
76. Gürkaynak Refet S., Sack Brian P., Wright Jonathan H. The TIPS yield curve and inflation compensation. American Economic Journal: Macroeconomics 2010, 2:70-92.
77. Harvey David I., Leybourne Stephen J., Newbold Paul Testing the equality of prediction mean squared errors. International Journal of Forecasting 1997, 13:281-291.
78. Haubrich, Joseph G., Pennacchi, George G., Ritchken, Peter H., 2008. Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates. Federal Reserve Bank of Cleveland Working Paper 2008-10.
79. Hendry David, Hubrich Kirstin Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate. Journal of Business and Economic Statistics 2010, 29:216-227.
80. Hu Gang, Worah Mihir Why TIPS real yields moved significantly higher after the Lehman Bankruptcy 2009, PIMCO, Newport Beach, California.
81. Hubrich Kirstin Forecasting Euro area inflation: does aggregating forecasts by HICP component improve forecast accuracy?. International Journal of Forecasting 2005, 21:119-136.
82. Inoue Atsushi, Kilian Lutz In-sample or out-of-sample tests of predictability: which one should we use?. Econometric Reviews 2004, 23:371-402.
83. Inoue Atsushi, Kilian Lutz On the selection of forecasting models. Journal of Econometrics 2006, 130:273-306.
84. Inoue Atsushi, Kilian Lutz How useful is bagging in forecasting economic time series? a case study of US CPI inflation. Journal of the American Statistical Association 2008, 103:511-522.
85. Inoue Atsushi, Kiraz Fatma B., Kilian Lutz Do actions speak louder than words? household expectations of inflation based on micro consumption data. Journal of Money, Credit and Banking 2009, 41:1331-1363.
86. Joslin, Scott, Priesbsch, Marcel, Singleton, Kenneth J., 2010. Risk premiums in dynamic term structure models with unspanned macro risks. Working Paper.
87. Joslin, Scott, Le, Anh, Singleton, Kenneth J., forthcoming. Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. Journal of Financial Economics.
88. Joyce Michael, Lildholdt Peter M., Sorensen Steffen Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves. Journal of Banking and Finance 2010, 34:281-294.
89. Kilian Lutz, Manganelli Simone Quantifying the risk of deflation. Journal of Money, Credit and Banking 2007, 39:561-590.
90. Kilian Lutz, Manganelli Simone The central banker as a risk manager: estimating the Federal Reserve's preferences under Greenspan. Journal of Money, Credit and Banking 2008, 40:1103-1129.
91. Kitsul, Yuriy, Wright, Jonathan H., 2012. The Economics of options-implied inflation probability density functions. NBER Working Paper 18195.
92. Kleibergen Frank, Mavroeidis Sophocles Weak instrument Robust tests in GMM and the new Keynesian Phillips curve. Journal of Business and Economic Statistics 2009, 27:293-311.
93. Koenig, Evan F., Atkinson, Tyler, 2012. Inflation, slack and fed credibility. Dallas Fed Staff Paper, 16.
94. Koop, Gary, Potter, Simon, 2003. Forecasting in large macroeconomic panels using Bayesian model averaging. Federal Reserve Bank of New York Staff Report, 163.
95. Kozicki Sharon, Tinsley Peter A. Shifting endpoints in the term structure of interest rates. Journal of Monetary Economics 2001, 47:613-652.
96. Kozicki Sharon, Tinsley Peter A. What do you expect? imperfect policy credibility and tests of the expectations hypothesis. Journal of Monetary Economics 2005, 52:421-447.
97. Kozicki Sharon, Tinsley Peter A. Effective use of survey information in estimating the evolution of expected inflation. Journal of Money, Credit and Banking 2012, 44:145-169.
98. Kwon, So Jung, 2011. Can judgmental forecasts help DSGE forecasting? Working Paper.
99. Liu, Zheng, Rudebusch, Glenn D., 2010. Inflation: mind the gap. Federal Reserve Bank of San Francisco Economic Letter, 2010-02.
100. Lo Andrew W., Craig Mackinlay A. Stock prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies 1988, 1:41-66.
101. Lütkepohl Helmut Forecasting Aggregated Vector ARMA Processes 1987, Springer Verlag, Berlin.
102. Manzan, Sebastiano, Zerom, Dawit, 2009. Are macroeconomic variables useful for forecasting the distribution of US inflation? Working Paper.
103. Marcellino Massimo, Stock James H., Watson Mark W. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics 2006, 135:499-526.
104. Meese Richard A., Rogoff Kenneth Empirical exchange rate models of the seventies? Do they fit out of sample?. Journal of International Economics 1983, 14:3-24.
105. Meier, André, 2010. Still minding the gap - inflation dynamics during episodes of persistent large output gaps. IMF Working Paper, 10-189.
106. Patton Andrew J., Timmermann Allan Properties of optimal forecasts under asymmetric loss and nonlinearity. Journal of Econometrics 2007, 140:884-918.
107. Patton Andrew J., Timmermann Allan Forecast rationality tests based on multi-horizon bounds. Journal of Business and Economic Statistics 2012, 30:1-17.
108. Pflueger Carolin E., Viceira Luis M. Inflation-indexed bonds and the expectations hypothesis. Annual Review of Financial Economics 2011, 3:139-158.
109. Phillips A.William The relationship between unemployment and the rate of change of money wages in the United Kingdom 1861-1957. Economica 1958, 25:283-299.
110. Primiceri Giorgio E. Time varying structural vector autoregressions and monetary policy. Review of Economic Studies 2005, 72:821-852.
111. Reifschneider David L., Williams John C. Three lessons for monetary policy in a low-inflation era. Journal of Money, Credit and Banking 2000, 32:936-966.
112. Reifschneider David L., Stockton David J., Wilcox David W. Econometric models and the monetary policy process. Carnegie Rochester Series on Public Policy 1997, 47:1-37.
113. Romer Christina D., Romer David H. Federal reserve information and the behavior of interest rates. American Economic Review 2000, 90:429-457.
114. Rossi Barbara, Sekhposyan Tatevik Have economic models' forecasting performance for US output growth and inflation changed over time, and when?. International Journal of Forecasting 2010, 26:808-835.
115. Rudd Jeremy, Whelan Karl New tests of the new-Keynesian Phillips curve. Journal of Monetary Economics 2005, 52:1167-1181.
116. Sims Christopher A. A nine-variable probabilistic macroeconomic forecasting model. NBER Studies in Business: Business Cycles, Indicators, and Forecasting 1993, vol. 28. National Bureau of Economic Research, Cambridge.
117. Sims Christopher A. The role of models and probabilities in the monetary policy process. Brookings Papers on Economic Activity 2002, 2:1-40.
118. Smets Frank, Wouters Raf An estimated stochastic dynamic general equilibrium model of the Euro area. Journal of the European Economic Association 2003, 1:1123-1175.
119. Smets Frank, Wouters Raf Shocks and frictions in US business cycles: a Bayesian DSGE approach. American Economic Review 2007, 97:586-607.
120. Stock James H., Watson Mark W. Forecasting inflation. Journal of Monetary Economics 1999, 44:293-335.
121. Stock James H., Watson Mark W. Has the business cycle changed? evidence and explanations. Federal Reserve Bank of Kansas City Symposium: Monetary Policy and Uncertainty 2003, Jackson Hole, Wyoming.
122. Stock James H., Watson Mark W. Forecasting output and inflation: the role of asset prices. Journal of Economic Literature 2003, 41:788-829.
123. Stock James H., Watson Mark W. Has inflation become harder to forecast?. Journal of Money, Credit and Banking 2007, 39:3-34.
124. Stock James H., Watson Mark W. Phillips curve inflation forecasts. Understanding Inflation and the Implications for Monetary Policy 2009, MIT Press, Cambridge. J. Fuhrer, Y. Kodrzycki, J. Little, G. Olivei (Eds.).
125. Stock James H., Watson Mark W. Modeling inflation after the crisis. Federal Reserve Bank of Kansas City Economic Policy Symposium 2010.
126. Svensson Lars E.O. Monetary policy with judgment: forecast targeting. International Journal of Central Banking 2005, 1:1-54.
127. Tetlow Robert J., Ironside Brian Real-time model uncertainty in the United States: the fed, 1996-2003. Journal of Money, Credit and Banking 2007, 39:1533-1849.
128. Tulip Peter Has the economy become more predictable? changes in Greenbook forecast accuracy. Journal of Money, Credit and Banking 2009, 39:1217-1231.
129. Van Dijk, Dick, Koopman, Siem Jan, van der Wel, Michel, Wright, Jonathan H., 2011. Forecasting interest rates with shifting endpoints. Working Paper.
130. Woodford Michael Interest and Prices: Foundations of a Theory of Monetary Policy 2003, Princeton University Press, Princeton, New Jersey.
131. Wright Jonathan H. Forecasting US inflation by Bayesian model averaging. Journal of Forecasting 2009, 28:131-144.
132. Wright Jonathan H. Comment on Understanding inflation-indexed bond markets. Brookings Papers on Economic Activity 2009, 1:126-138.
133. Wright, Jonathan H., forthcoming. Evaluating real-time VAR forecasts with an informative democratic prior. Journal of Applied Econometrics.