Interwar macroeconomic history is a natural place to look for evidence on the correlations between (a) deflation and depression and (b) unexpected deflation and depression. We apply time-series methods to measure unexpected deflation or inflation for 26 countries from 1922 to 1939. The results...

We provide a new way to filter US inflation into trend and cycle components, based on extracting long-run forecasts from the Survey of Professional Forecasters. We operate the Kalman filter in reverse, beginning with observed forecasts, then estimating parameters, and then extracting the...

We model inflation forecasts as monotonically diverging from an estimated long-run anchor point towards actual inflation as the forecast horizon shortens. Fitting the model with forecaster-level data for Japan, we find that the estimated anchors across forecasters have tended to rise in recent...