Using wavelets to measure core inflation: The case of 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.
Year of publication: |
2010
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---|---|
Authors: | Baqaee, David |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 21.2010, 3, p. 241-255
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Publisher: |
Elsevier |
Keywords: | Core Inflation Monetary policy Central banks Time series Wavelets |
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