, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … posteriori-Wahrscheinlichkeit, welche Prädiktoren zu verschiedenen Zeitpunkten für die Prognose relevant waren. Unsere Ergebnisse … zeigen, dass (1) DMA die Prognose im Vergleich zu anderen Verfahren verbessert und (2) dass die Goldpreisprädiktoren sich …

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity … futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month …-ahead inflation forecasts of the benchmark AR(1) model by 28 percent (20 percent) for the PCE (CPI) measure of core inflation. To …

This paper examines three empirical measures of the ex ante 10-year real interest rate: inflation-indexed government … bond yields and two Fisher-hypothesis proxies based on survey inflation expectations and a shifting endpoint econometric … endpoint forecast model to substantially expand the otherwise short sample periods.Stylized facts of the behavior of long …

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity … futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month …-ahead inflation forecasts of the benchmark AR(1) model by 28 percent (20 percent) for the PCE (CPI) measure of core inflation. To …

for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no … information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of … Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …

yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross …-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to … headline inflation shocks during the calendar month of CPI, and to core inflation news on CPI announcement days. Examining the …

This paper reinvestigates the performance of trimmed-mean inflation measures some 20 years since their inception … measures in forecasting headline inflation. …