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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...
Persistent link: https://www.econbiz.de/10009788463
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...
Persistent link: https://www.econbiz.de/10013076654
Persistent link: https://www.econbiz.de/10012585992
Historians have suggested there were waves of inflation or price revolutions in the UK (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1914. We study retail price inflation since 1251 and model its forecasts. The model is an AR(n) but allows for...
Persistent link: https://www.econbiz.de/10013236916
Much research studies US inflation history with a trend-cycle model with unobserved components. A key feature of this model is that the trend may be viewed as the Fed's evolving inflation target or long-horizon expected inflation. We provide a new way to measure the slowly evolving trend and the...
Persistent link: https://www.econbiz.de/10013060495
Historians have suggested there were waves of inflation or price revolutions in the UK (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1914. We study retail price inflation since 1251 and model its forecasts. The model is an AR(n) but allows for...
Persistent link: https://www.econbiz.de/10012490912
Persistent link: https://www.econbiz.de/10003888566
Persistent link: https://www.econbiz.de/10003595143