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The unreliability of inflation indicators

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Author Info
Stephen G. Cecchetti
Rita S. Chu
Charles Steindel

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Abstract

Analysts seeking evidence of rising inflation often focus on the movements of a single indicator_an increase in the price of gold, for example, or a decline in the unemployment rate. But simple statistical tests reveal that such indicators, used in isolation, have very limited predictive power.

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Publisher Info
Article provided by Federal Reserve Bank of New York in its journal Current Issues in Economics and Finance.

Volume (Year): (2000)
Issue (Month): Apr ()
Pages:
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Handle: RePEc:fip:fednci:y:2000:i:apr:n:v.6no.4

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Keywords: Inflation (Finance) Economic indicators Forecasting

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Michael F. Bryan & Stephen G. Cecchetti, 1993. "The consumer price index as a measure of inflation," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 15-24. [Downloadable!]
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  2. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October. [Downloadable!] (restricted)
    Other versions:
  3. Jonas D.M. Fisher, 2000. "Forecasting inflation with a lot of data," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Mar. [Downloadable!]
  4. Stephen G. Cecchetti, 1996. "Inflation Indicators and Inflation Policy," NBER Working Papers 5161, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155. [Downloadable!]
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  6. S. Brock Blomberg & Ethan S. Harris, 1995. "The commodity-consumer price connection: fact or fable?," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 21-38. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Agostino Consolo, 2006. "Forecasting measures of inflation for the Estonian economy," Bank of Estonia Working Papers 2006-03, Bank of Estonia, revised 12 Nov 2006. [Downloadable!]
  2. Canova, Fabio, 2002. "G-7 Inflation Forecasts," CEPR Discussion Papers 3283, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Greg Tkacz, 2007. "Gold Prices and Inflation," Working Papers 07-35, Bank of Canada. [Downloadable!]
  4. Jonas Dovern, 2006. "Predicting GDP Components. Do Leading Indicators Increase Predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy. [Downloadable!]
  5. Scott Brave & Jonas D. M. Fisher, 2004. "In search of a robust inflation forecast," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 12-31. [Downloadable!]
  6. Kevin Ross & Angel J. Ubide, 2001. "Mind the Gap: What is the Best Measure of Slack in the Euro Area?," IMF Working Papers 01/203, International Monetary Fund.
  7. Jonathan H. Wright, 2003. "Forecasting U.S. inflation by Bayesian Model Averaging," International Finance Discussion Papers 780, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  9. Anindya BANERJEE & Massimiliano MARCELLINO, 2002. "Are There Any Reliable Leading Indicators for US Inflation and GDP Growth?," Economics Working Papers ECO2002/21, European University Institute. [Downloadable!]
    Other versions:
  10. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Robert Rich & Charles Steindel, 2007. "A comparison of measures of core inflation," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 19-38. [Downloadable!]
  12. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  13. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Sharon Kozicki, 2001. "Why do central banks monitor so many inflation indicators?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 5-42. [Downloadable!]
  15. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, . "Leading Indicators for Euro-area Inflation and GDP Growth," Working Papers 235, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    Other versions:
  16. Michael Dotsey & Thomas Stark, 2005. "The relationship between capacity utilization and inflation," Business Review, Federal Reserve Bank of Philadelphia, issue Q2, pages 8-17. [Downloadable!]
  17. Ron Feldman & Jan Kim & Preston Miller & Jason Schmidt, 2003. "Are Banking Supervisory Data Useful for Macroeconomic Forecasts?," Contributions to Macroeconomics, Berkeley Electronic Press, vol. 3(1), pages 1066-1066. [Downloadable!] (restricted)
  18. Robert Rich & Charles Steindel, 2005. "A review of core inflation and an evaluation of its measures," Staff Reports 236, Federal Reserve Bank of New York. [Downloadable!]
  19. 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. [Downloadable!]
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