Why Has U.S. Inflation Become Harder to Forecast?

Journal of Money, Credit and Banking - Tập 39 Số s1 - Trang 3-33 - 2007
James H. Stock1,2,3, Mark W. Watson1,2,3
1Department of Economics Harvard University Littauer Center M4 Cambridge, MA 02138 and
2Department of Economics Princeton University Princeton, NJ 08544-1013
3NBER Working Paper No. 12324

Tóm tắt

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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Thông tin xuất bản

Journal of Money, Credit and Banking

Tập 39 Số s1

3-33

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