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Inflation uncertainty revisited: A proposal for robust measurement

Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - 2011

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information...

Persistent link: https://www.econbiz.de/10010312179

What is Keeping U.S. Core Inflation Low : Insights from a Bottom-Up Approach

Abdih, Yasser - 2016

factors predominantly drive core goods price changes. When comparing forecasting performance, we find that both the aggregate …

Persistent link: https://www.econbiz.de/10012977854

Forecasting U.S. Inflation by Bayesian Model Averaging

Wright, Jonathan H. - 2003

Recent empirical work has considered the prediction of inflation by combining the information in a large number of time series. One such method that has been found to give consistently good results consists of simple equal weighted averaging of the forecasts over a large number of different...

Persistent link: https://www.econbiz.de/10014075008

The diversity of forecasts from macroeconomic models of the U.S. economy

Wieland, Volker; Wolters, Maik H. - 2010

This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...

Persistent link: https://www.econbiz.de/10010303756

Posterior-predictive evidence on US inflation using extended Phillips curve models with non-filtered data

Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013 - July 2013, revised October 2013

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

Persistent link: https://www.econbiz.de/10010199052

Forecasting US inflation using Markov dimension switching

Prüser, Jan - 2017

MDS approach. In a forecasting exercise the MDS model compares favorably to the Bernoulli model for one quarter and one … year ahead inflation. In addition, it turns out that the performance of MDS model forecasting is competitive in comparison … with other models found to be useful in the inflation forecasting literature. …

Persistent link: https://www.econbiz.de/10011720713

Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with Non-filtered Data

Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; van Dijk, … - 2013

volatilities of inflation are estimated more precisely using rich PC models. Estimated inflation expectations track nicely the …

Persistent link: https://www.econbiz.de/10010326539

U.S. wage-price dynamics, before, during and after COVID-19, through the lens of an empirical econometric model

Bårdsen, Gunnar; Nymoen, Ragnar - 2024

We specify an empirical model of US inflation which has the dynamics of wage and price setting at its core. In the dynamic wage equation an equilibrium-correction term connects the wage level to industrial prosperity indicators. In that way, the role of wage setting in the dynamics of the...

Persistent link: https://www.econbiz.de/10015054212

U.S. wage-price dynamics, before, during and after COVID-19, through the lens of an empirical econometric model

Bårdsen, Gunnar; Nymoen, Ragnar - 2024 - Preliminary version, 11 May 2024

Persistent link: https://www.econbiz.de/10014577654

A First Look on the New Halle Economic Projection Model

Giesen, Sebastian; Holtemöller, Oliver; Scharff, Juliane; … - 2010

In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model - the Halle Economic Projection Model (HEPM) - is closely related to studies recently published...

Persistent link: https://www.econbiz.de/10010271586