We apply both classical and Bayesian econometric methods to characterize the dynamic behavior of inflation for twelve … 1990s. Allowing for a break in intercept, the inflation measures generally exhibit relatively low inflation persistence …. Evidently, high inflation persistence is not an inherent characteristic of industrial economies …

This paper studies the joint dynamics of U.S. inflation and the average inflation predictions of the Survey of … consists of the unobserved components (UC) model of Stock and Watson (2007, “Why has US inflation become harder to forecast … Journal of Economics 117, 1295–1328). We introduce timevarying inflation gap persistence into the Stock and Watson (SW …

This paper studies the joint dynamics of real-time U.S. inflation and average inflation predictions of the Survey of … unobserved components (UC) model of inflation and a sticky information (SI) prediction mechanism for the SPF predictions. We add … drifting gap inflation persistence to a UC model in which stochastic volatility (SV) affects trend and gap inflation. Another …

This paper studies the joint dynamics of real time U.S. inflation and the mean inflation predictions of the Survey of … (UC) model of inflation and a sticky information (SI) prediction mechanism for SPF inflation predictions. We add drifting … gap inflation persistence to a UC model that already has stochastic volatility (SV) afflicting trend and gap inflation …

consider U.S. inflation dynamics. A purely noncausal AR model gets the strongest support, but there is also substantial … evidence in favor of other noncausal AR models allowing for dependence on past inflation. Thus, although U.S. inflation … specifications seem to yield inflation forecasts which are superior to those from alternative models especially at longer forecast …

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts … inflation, a host of real-activity data, term structure data, nominal data, and surveys. In each individual specification, we … deflator inflation rates for the United States in the post-World War II period. Over the full 1960-2008 sample, the framework …

This paper revisits the accuracy of inflation forecasting using activity and expectations variables. We apply Bayesian … values of inflation, a host of real activity data, term structure data, nominal data and surveys. In this model average we … affect any inflation forecast model. The different versions of our framework are used to model U.S. PCE deflator and GDP …