Using wavelets to measure core inflation: the case in New Zealand

This paper uses wavelets to develop a core inflation measure for inflation targeting central banks. The analysis is applied to the case of New Zealand – the country with the longest history of explicit inflation targeting. We compare the performance of our proposed measure against some popular alternatives. Our measure does well at identifying a reliable medium-term trend in inflation. It also has comparable forecasting performance to standard benchmarks.

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Year of publication:	2009-05
Authors:	Baqaee, David
Institutions:	Reserve Bank of New Zealand

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Series:	Reserve Bank of New Zealand Discussion Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number DP2009/05 23 pages long
Classification:	C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005007502