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Why Has U.S. Inflation Become Harder to Forecast?
Open accessAbstract
We examine whether the U.S. rate of price inflation has become harder to forecast and, to the extent that it has, what changes in the inflation process have made it so. The main finding is that the univariate inflation process is well described by an unobserved component trend‐cycle model with stochastic volatility or, equivalently, an integrated moving average process with time‐varying parameters. This model explains a variety of recent univariate inflation forecasting puzzles and begins to explain some multivariate inflation forecasting puzzles as well.
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Citations
Cites
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Cited by
Disagreement Among Forecasters in G7 Countries
Dovern, J., Fritsche, U., & Slacalek, J. (2012) · Review of Economics and Statistics · doi:10.1162/rest_a_00207 · Cited by 394
Blanchard, O. J., & Riggi, M. (2013) · Journal of the European Economic Association · doi:10.1111/jeea.12029 · Cited by 363
Oil prices and inflation dynamics: Evidence from advanced and developing economies
Choi, S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2018) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2017.12.004 · Cited by 336
Monetary/Fiscal policy mix and agents' beliefs
Bianchi, F., & Ilut, C. (2017) · Review of Economic Dynamics · doi:10.1016/j.red.2017.02.011 · Cited by 259
Nowcasting food inflation with a massive amount of online prices
Macias, P., Stelmasiak, D., & Szafranek, K. (2023) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2022.02.007 · Cited by 46
Metadata
- Authors
- STOCK, J. H., & WATSON, M. W.
- Venue
- Journal of Money, Credit and Banking
- Publisher
- Wiley
- Published
- 2007-01-18
- Volume
- 39
- Issue
- s1
- Pages
- 3-33
- ISSN
- 0022-2879 (ISSN-L)
- 1538-4616
- OpenAlex
- W3121595883
- Cited by
- 1,664
- References
- 1
- FWCI
- 133.74
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
