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A Simple Adaptive Measure of Core Inflation

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Author Info

  • Cogley, Timothy

Abstract

This paper proposes a new measure of core inflation and compares it with several existing measures. The new measure is adaptive and is designed to track sudden and persistent movements in inflation, such as those arising from changes in monetary policy regimes. The adaptive measure filters out transients more effectively than existing measures, and it is a superior predictor of locally mean-reverting components of inflation.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 34 (2002)
Issue (Month): 1 (February)
Pages: 94-113

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Handle: RePEc:mcb:jmoncb:v:34:y:2002:i:1:p:94-113

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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