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 …

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 …

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 …

advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future …