Does excluding food and energy prices from the Consumer Price Index (CPI) produce a measure that captures permanent price changes? To examine this question we decompose CPI inflation and "core" inflation into their permanent and transitory components using a correlated unobserved components...

This paper studies the joint dynamics of U.S. inflation and the average inflation predictions of the Survey of Professional Forecasters (SPF) on a sample running from 1968Q4 to 2014Q2. The joint data generating process (DGP) of these data consists of the unobserved components (UC) model of Stock...

Central to the conduct of monetary policy are inflation forecasts. Inflation forecast are not unique. Central banks and professional organizations generate inflation forecasts while households are surveyed about their inflation outlook. This paper estimates inflation forecast disagreement for...