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Book Forecasting US Inflation

Download or read book Forecasting US Inflation written by Dalton Kick and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: I utilize and compare several common inflation forecasting models, including traditional Phillips curve models and the New Keynesian Phillips curve, as well as several other time series models. I evaluate these models using RMSE over several forecast horizons, using three different measures of inflation: CPI inflation, PPI inflation, and GDP deflator inflation. I find that the theoretical Phillips curve models outperform other time series models, however, the performance is sensitive to the inflation measure used in estimation.

Book Inflation Expectations

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Book Time varying US Inflation Dynamics and the New Keynesian Phillips Curve

Download or read book Time varying US Inflation Dynamics and the New Keynesian Phillips Curve written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book New Tests of the New Keynesian Phillips Curve

Download or read book New Tests of the New Keynesian Phillips Curve written by Jeremy Bay Rudd and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Posterior Predictive Evidence on US Inflation Using Extended New Keynesian Phillips Curve Models with Non Filtered Data

Download or read book Posterior Predictive Evidence on US Inflation Using Extended New Keynesian Phillips Curve Models with Non Filtered Data written by Nalan Basturk and published by . This book was released on 2014 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 which depend on the model specification used. Basic PC models are extended to include structural time series models that describe typical time varying patterns in levels and volatilities. Forward as well as backward looking expectation mechanisms for inflation are incorporated and their relative importance evaluated. Survey data on expected inflation are introduced to strengthen the information in the likelihood. Use is made of simulation based Bayesian techniques for the empirical analysis. No credible evidence is found on endogeneity and long run stability between inflation and marginal costs. Backward-looking inflation appears stronger that forward-looking one. Levels and volatilities of inflation are estimated more precisely using rich PC models. Estimated inflation expectations track nicely the observed long run inflation from the survey data. The extended PC structures compare favorably with existing basic Bayesian Vector Autoregressive and Stochastic Volatility models in terms of fit and prediction. Tails of the complete predictive distributions indicate an increase in the probability of disinflation in recent years.

Book The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time

Download or read book The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time written by Athanasios Orphanides and published by . This book was released on 2005 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation"--Abstract.

Book Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve

Download or read book Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve written by Jordi Galí and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Galí and Gertler (1999) developed a hybrid variant of the New Keynesian Phillips curve that relates inflation to real marginal cost, expected future inflation and lagged inflation. GMM estimates of the model suggest that forward looking behavior is dominant: The coefficient on expected future inflation substantially exceeds the coefficient on lagged inflation. While the latter differs significantly from zero, it is quantitatively modest. Several authors have suggested that our results are the product of specification bias or suspect estimation methods. Here we show that these claims are incorrect, and that our results are robust to a variety of estimation procedures, including GMM estimation of the closed form, and nonlinear instrumental variables. Also, as we discuss, many others have obtained very similar results to ours using a systems approach, including FIML techniques. Hence, the conclusions of GG and others regarding the importance of forward looking behavior remain robust.

Book U S Inflation Dynamics

Download or read book U S Inflation Dynamics written by Ravi Balakrishnan and published by International Monetary Fund. This book was released on 2006-06 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to improve the understanding of U.S. inflation dynamics by separating out structural from cyclical effects using frequency domain techniques. Most empirical studies of inflation dynamics do not distinguish between secular and cyclical movements, and we show that such a distinction is critical. In particular, we study traditional Phillips curve (TPC) and new Keynesian Phillips curve (NKPC) models of inflation, and conclude that the long-run secular decline in inflation cannot be explained in terms of changes in external trade and global factor markets. These variables tend to impact inflation primarily over the business cycle. We infer that the secular decline in inflation may well reflect improved monetary policy credibility and, thus, maintaining low inflation in the long run is closely linked to anchored inflation expectations.

Book The New Keynesian Phillips Curve and Inflation Expectations

Download or read book The New Keynesian Phillips Curve and Inflation Expectations written by G. S. Tavlas and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theoretical analysis of the new Keynesian Phillips curve (NKPC) is provided, formulating the conditions under which the NKPC coincides with a real-world relation that is not spurious or misspecified. A time-varying-coefficient (TVC) model, involving only observed variables, is shown to exactly represent the underlying “true” NKPC under certain conditions. In contrast, “hybrid” NKPC models, which add lagged-inflation and supply-shock variables, are shown to be spurious and misspecified. We also show how to empirically implement the NKPC under the assumption that expectations are formed rationally.

Book Measuring Inflation Expectations Using Phillips Curve Models

Download or read book Measuring Inflation Expectations Using Phillips Curve Models written by Adriana Cornea-Madeira and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This case study is based on original research conducted by us on the estimation of the Phillips curve (which establishes a relation between inflation and the level of aggregate economic activity) with UK data. This case study will address the following methodological/practical challenges: (1) choice of driving variable in estimation of Phillips curve models and in obtaining measures of fundamental inflation; (2) finding instruments to deal with endogeneity bias in estimation of Phillips curve models; (3) comparing models using selection techniques that balance goodness of fit with simplicity; and (4) assessment of inflation forecast accuracy. Lessons (1)-(4) are applicable to anyone doing empirical research on inflation dynamics. Lessons (1)-(4) are also all applicable to those studying monetary policy, fiscal policy, and business cycles. Lesson (2) is also applicable to the study of most economic relationships, while lessons (3) and (4) are also applicable to the study of time series in general.

Book New Keynesian Phillips Curve for Estonia Latvia and Lithuania

Download or read book New Keynesian Phillips Curve for Estonia Latvia and Lithuania written by Aurelijus Dabusinskas and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Forecasting Inflation with the New Keynesian Phillips Curve

Download or read book Forecasting Inflation with the New Keynesian Phillips Curve written by Manuel M. F. Martins and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Simulating Inflation Forecasting in Real time

Download or read book Simulating Inflation Forecasting in Real time written by Bianca Clausen and published by . This book was released on 2010 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies, we use output gaps estimated with unrevised real-time GDP data. This exercise assumes an information set similar to that available to a policymaker at a given point in time since GDP data is subject to sometimes substantial revisions. In addition to using real-time datasets for the UK and the US, we employ a dataset for real-time German GDP data not used before. We find that Phillips curves based on ex post output gaps generally improve the accuracy of inflation forecasts compared to an AR(1) forecast but that real-time output gaps often do not help forecasting inflation.This raises the question how operationally useful certain output gap estimates are for forecasting inflation.