Previous studies using consumer survey data on inflation expectations find that consumers revise their inflation forecasts approximately once every eight months, suggesting that information is quite "sticky." However, in the consumer survey data analyzed, respondents take the survey twice with a...

We provide a new way to filter US inflation into trend and cycle components, based on extracting long-run forecasts from the Survey of Professional Forecasters. We operate the Kalman filter in reverse, beginning with observed forecasts, then estimating parameters, and then extracting the...

The ability of the New Keynesian Phillips curve to explain US inflation dynamics when official central bank forecasts (Greenbook forecasts) are used as a proxy for inflation expectations is examined. The New Keynesian Phillips curve is estimated on quarterly data spanning the period...

Managing inflation is vital for a stable economy, but forecasting remains challenging. ML methods, like neural networks, have shown promise in forecasting inflation and other macroeconomic variables. In this paper, I propose DPCNet, a deep multi-task learning model, to jointly forecast inflation...

In general, central banks are concerned with keeping the inflation rate stable while also sustaining output close to an efficient level. Under "inflation targeting", forecasts of the evolution of the general price level are an essential input for policy decisions and these are usually released...

The aim of this paper is to investigate the performance of Phillips curve to forecast inflation in a high inflation emerging market country by taking Turkey as a case. For this purpose we compare the forecasting performance of Phillips curve with alternative time series models namely univariate...

Policymakers and researchers see inflation characterized by cyclical fluctuations driven by changes in resource utilization and temporary shocks, around a trend influenced by inflation expectations. We study the in-sample inflation dynamics and forecast inflation out-of-sample by analyzing a New...

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF and Consensus Economics compared to their...

We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation and its predictors) into several frequency bands and forecasting...