Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …, to the extent that it has, what changes in the inflation process have made it so. The main finding is that the univariate …

This paper investigates forecasts of U.S. inflation at the 12-month horizon. The starting point is the conventional … unemployment rate Phillips curve, which is examined in a simulated out of sample forecasting framework. Inflation forecasts …

This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output … prices predict either inflation or output growth in some countries in some periods. Which series predicts what, when and …

similar), instead of gaps. Second, we study the components of inflation instead of the standard aggregates. We find that some … inflation components have strong and stable correlations with the cyclical component of real activity; these components tend to … internationally determined, have weak and/or unstable correlations with cyclical activity. We construct a new inflation index …

In the United States, the rate of price inflation falls in recessions. Turning this observation into a useful inflation … forecasting equation is difficult because of multiple sources of time variation in the inflation process, including changes in Fed … policy and credibility. We propose a tightly parameterized model in which the deviation of inflation from a stochastic trend …