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When can we forecast inflation?

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  • Jonas D. M. Fisher
  • Chin Te Liu
  • Ruilin Zhou

Abstract

This article reassesses recent work that has challenged the usefulness of inflation forecasts. The authors find that inflation forecasts were informative in 1977-84 and 1993-2000, but less informative in 1985-92. They also find that standard forecasting models, while generally poor at forecasting the magnitude of inflation, are good at forecasting the direction of change of inflation.

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File URL: http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2002/1qepart4.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.

Volume (Year): (2002)
Issue (Month): Q I ()
Pages: 32-44

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Handle: RePEc:fip:fedhep:y:2002:i:qi:p:32-44:n:v.26no.1

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Related research

Keywords: Inflation (Finance) ; Phillips curve;

References

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  1. Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers 1492, C.E.P.R. Discussion Papers.
  2. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  3. Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, MIT Press, vol. 113(3), pages 869-902, August.
  4. Michael D. Bordo & Anna J. Schwartz, 1997. "Monetary Policy Regimes and Economic Performance: The Historical Record," NBER Working Papers 6201, National Bureau of Economic Research, Inc.
  5. Strongin, Steven, 1995. "The identification of monetary policy disturbances explaining the liquidity puzzle," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 463-497, June.
  6. Andrew Atkeson & Lee E. Ohanian., 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
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