This paper first shows that survey-based expectations (SBE) outperform standard time series models in U.S. quarterly inflation out-of-sample prediction and that the term structure of survey-based inflation forecasts has predictive power over the path of future inflation changes. It then proposes...

This study presents extensive results on the benefits of rolling window and model averaging. Building on the recent work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell (2009), we explore whether rolling window averaging can be...

Time series regressions indicate that age structure has significant forecasting power on Swedish inflation. The results agree with a Phillips-Okun framework, assuming that the demographic composition affects productivity. The relative age effects are also relatively well in accordance with what...

Time series regressions indicate that age structure has significant forecasting power on Swedish inflation. The results agree with a Phillips-Okun framework, assuming that the demographic composition affects productivity. The relative age effects are also relatively well in accordance with what...

Core inflation rates are widely calculated. The perceived benefit of core inflation rates is that they help to inform monetary policy. This is achieved by uncovering the underlying trend in inflation or by helping to forecast inflation. Studies which compare core inflation rates frequently...

This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. It is found that various model specifications...