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A simple adaptive measure of core inflation

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Author Info
Timothy Cogley

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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 inflation, such as those arising from changes in monetary policy regimes. the adaptive measure is a superior predictor of (locally) mean reverting components of inflation, and appears to filter out transients more effectively than existing measures.

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Publisher Info
Paper provided by Federal Reserve Bank of San Francisco in its series Working Papers in Applied Economic Theory and Econometrics with number 98-06.

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Date of creation: 1998
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Handle: RePEc:fip:fedfam:98-06

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Keywords: Inflation (Finance) Prices

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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. Mark A. Wynne, 1999. "Core inflation: a review of some conceptual issues," Working Paper Series 5, European Central Bank. [Downloadable!]
    Other versions:
  2. Todd E. Clark, 2000. "Can out-of-sample forecast comparisons help prevent overfitting?," Research Working Paper RWP 00-05, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  3. Gerlach, Stefan, 2003. "The ECB's Two Pillars," CEPR Discussion Papers 3689, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  4. Juan-Luis Vega & Mark A. Wynne, 2002. "A first assessment of some measures of core inflation for the euro area," Working Papers 02 05, Federal Reserve Bank of Dallas. [Downloadable!]
    Other versions:
  5. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers 5632, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  6. Craig S. Hakkio, 2008. "PCE and CPI inflation differentials: converting inflation forecasts," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 51-68. [Downloadable!]
  7. Michael F. Bryan & Stephen G. Cecchetti, 2001. "A Note on the Efficient Estimation of Inflation in Brazil," Working Papers Series 11, Central Bank of Brazil, Research Department. [Downloadable!]
  8. Robert Dixon & Guay Lim, 2003. "Underlying Inflation in Australia: Are the Existing Measures Satisfactory?," Department of Economics - Working Papers Series 878, The University of Melbourne. [Downloadable!]
    Other versions:
  9. Fiorencio, A & Moreira, A.R.B., 2000. "O Núcleo da Inflação como a Tendência Comum dos Preços," Ibmec Working Papers wpe_2, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
  10. Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December. [Downloadable!]
    Other versions:
  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. Timothy Cogley & Sergei Morozov & Thomas J. Sargent, 2003. "Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System," CFS Working Paper Series 2003/44, Center for Financial Studies. [Downloadable!]
    Other versions:
  13. Samuel Reynard, 2007. "Maintaining low inflation: money, interest rates, and policy stance," Working Paper Series 756, European Central Bank. [Downloadable!]
    Other versions:
  14. Juan Luis Vega-Croissier & Mark A. Wynne, 2001. "An evaluation of some measures of core inflation for the euro area," Working Paper Series 053, European Central Bank. [Downloadable!]
  15. Kai Carstensen, 2007. "Is core money growth a good and stable inflation predictor in the euro area?," Kiel Working Papers 1318, Kiel Institute for the World Economy. [Downloadable!]
  16. Todd E. Clark & Michael W. McCracken, 2006. "Averaging forecasts from VARs with uncertain instabilities," Research Working Paper RWP 06-12, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  17. Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany. [Downloadable!]
  18. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City. [Downloadable!]
  19. 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!]
  20. Stefano Siviero & Giovanni Veronese, 2007. "A policy-sensible core-inflation measure for the euro area," Temi di discussione (Economic working papers) 617, Bank of Italy, Economic Research Department. [Downloadable!]
  21. Harvey, A., 2008. "Modeling the Phillips curve with unobserved components," Cambridge Working Papers in Economics 0805, Faculty of Economics, University of Cambridge. [Downloadable!]
  22. Annick Bruggeman & Gonzalo Camba-Méndez & Björn Fischer & João Sousa, 2005. "Structural filters for monetary analysis - the inflationary movements of money in the euro area," Working Paper Series 470, European Central Bank. [Downloadable!]
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