series models of U.S. unemployment and inflation. Because the null hypothesis that the coefficients are in fact constant lies …

This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which … allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation … model also allows for a time-varying degree of persistence in the transitory component of inflation. The bounds placed on …

inflation out-of-sample prediction and that the term structure of survey-based inflation forecasts has predictive power over the … path of future inflation changes. It then proposes some empirical explanations for the forecasting success of survey …-based inflation expectations. We show that SBE pool a large amount of heterogeneous information on inflation expectations and react …

The present paper compares expected inflation to (econometric) inflation forecasts based on a number of forecasting … expected inflation we develop a recursive filtering algorithm which extracts unexpected inflation from real interest rate data …, even in the presence of diverse risks and a potential Mundell-Tobin-effect. The extracted unexpected inflation is compared …

Forecasts are presented for the 12-month ahead US rate of inflation measured by the chain weighted personal consumer … of equilibrium correction terms, which bring gradual adjustment of relative prices into the inflation process, and non …-linearities, to proxy state dependence in the inflation process, is shown to contribute importantly to this out-performance.  There is …

In an economy conducted under an Inflation Targeting regime, the output gap becomes one of the most important variables … forecasting performance of all the output gaps estimators improves when we re-define core inflation to exclude some price shocks. …

marginal cost is difficult to do. Stock and Watson (1999) use the Phillips Curve to forecast inflation for a variety of … Phillips Curve to conduct pseudo out-of-sample inflation forecasts for the US using: output, unemployment, hours, the labor …

This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country …-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the … G7. The estimated volatility of the common inflation component captures the international effects of the ‘Great …

This paper analyses inflation forecasting power of artificial neural networks with alternative univariate time series … in terms of dynamic forecasts. The superiority of the unobserved components model suggests that inflation in Turkey has … time varying pattern and conventional models are not able to track underlying trend of inflation in the long run. …

In this paper, we formulate a statistical model of inflation that combines data on survey expectations and the … inflation target set by central banks.. Our model produces inflation forecasts that are aligned with survey expectations … the inflation target set by the monetary authority to examine the effectiveness of monetary policy in forming inflation …