This paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results suggest that the predictive power of some interest rate spreads have...

This paper presents three local nonparametric forecasting methods that are able to utilize the isolated periods of revised real-time PCE and core PCE for 62 vintages within a historic framework with respect to the nonparametric exclusion-from-core inflation persistence model. The flexibility,...

Using parametric and nonparametric methods, inflation persistence is examined through the relationship between exclusions-from-core inflation and total inflation for two sample periods and in five in-sample forecast horizons ranging from one quarter to three years over fifty vintages of...

This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for...

This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for...

This paper examines whether core inflation is able to predict the overall trend of total inflation using real-time data in a parametric and nonparametric framework. Specifically, two sample periods and five in-sample forecast horizons in two measures of inflation, which are the personal...

This paper studies data revision properties of GDP growth and inflation as measured by the Wholesale Price Index (WPI) for the Indian economy. We find that data revisions to GDP growth and WPI inflation in India are significant. The results show that revisions to GDP growth and WPI inflation can...

Using parametric and nonparametric methods, inflation persistence is examined through the relationship between the exclusions-from-core measure of inflation and total inflation for two sample periods and five in-sample forecast horizons ranging from one to twelve quarters over fifty vintages of...

Using parametric and nonparametric methods, inflation persistence is examined through the relationship between exclusions-from-core inflation and total inflation for two sample periods and in five in-sample forecast horizons ranging from one quarter to three years over fifty vintages of...

The purpose of this paper is to examine the forecasting ability of sixty-two vintages of revised real-time PCE and core PCE using nonparametric methodologies. The combined fields of real-time data and nonparametric forecasting have not been previously explored with rigor, which this paper...