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Nowcasting US inflation using a MIDAS augmented Phillips curve

Author

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  • Clément Marsilli

Abstract

We present a mixed-frequency model for real-time monitoring of US inflation. Our approach relies on a mixed-data sampling (MIDAS) augmented Phillips curve with daily oil prices for nowcasting inflation. In line with the literature we find that performances of inflation nowcasting models rely on two key elements: the inclusion of high-frequency oil prices and a rolling-window framework. Our approach succeeds in providing a policy-oriented tool for monitoring inflation in real-time.

Suggested Citation

  • Clément Marsilli, 2017. "Nowcasting US inflation using a MIDAS augmented Phillips curve," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 64-77.
    • Handle: RePEc:ids:ijcome:v:7:y:2017:i:1/2:p:64-77
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    Citations

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    Cited by:

    1. Xindi Wang & Zeshui Xu & Xinxin Wang & Marinko Skare, 2022. "A review of inflation from 1906 to 2022: a comprehensive analysis of inflation studies from a global perspective," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 595-631, September.
    2. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    3. Barış Soybilgen & M. Ege Yazgan & Hüseyin Kaya, 2023. "Nowcasting Turkish Food Inflation Using Daily Online Prices," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 171-190, September.

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