Forecasting inflation

• 成果类型: Article; Proceedings Paper
• 署名作者: Stock, JH; Watson, MW
• 署名单位: Princeton University; National Bureau of Economic Research; Harvard University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(99)00027-6
• 发表日期: 1999
• 页码: 293-335
• 关键词: Phillips curve; forecast combination

摘要

This paper investigates forecasts of US inflation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out-of-sample forecasting framework. Inflation forecasts produced by the Phillips curve generally have been more accurate than forecasts based on other macroeconomic variables, including interest rates, money and commodity prices. These forecasts can however be improved upon using a generalized Phillips curve based on measures of real aggregate activity other than unemployment, especially a new index of aggregate activity based on 168 economic indicators. (C) 1999 Elsevier Science B.V. All rights reserved.