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 …

approximating strict inflation-forecast targeting are likely to have undesirable properties. We also show that economies with more …Proposals for 'inflation targeting' as a strategy for monetary policy leave open the important operational question of … how to determine whether current policies are consistent with the long-run inflation target. An interesting possibility is …

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

--they are not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing … standard examples of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast …

forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are …

for output growth and inflation from 1992 to 2011. We find strong evidence of time variation in the pool's weights … environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …

premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We …

of quarterly developments in the year ahead for six variables representing inflation, real growth, unemployment … and autocorrelation of error. The marginal forecast errors tend to increase, and the correlations between predictions and … regressions have zero intercepts and unitary slope coefficients are very unfavorable to expectations of inflation, but they show …