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Are Weekly Inflation Forecasts Informative?

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  • Marlene Amstad
  • Andreas M. Fischer

Abstract

Are weekly inflation forecasts informative? Although several central banks review and discuss monetary policy issues on a bi-weekly basis, there have been few attempts by analysts to construct systematic estimates of core inflation that supports such a decision-making schedule. The timeliness of news releases and macroeconomic revisions are recognized to be an important information source in real-time estimation. We incorporate real-time information from macroeconomic releases and revisions into our weekly updates of monthly Swiss core inflation using a common factor procedure. The weekly estimates for Swiss core inflation find that it is worthwhile to update the forecast at least twice a month.

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Bibliographic Info

Paper provided by Swiss National Bank in its series Working Papers with number 2008-05.

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Length: 43 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:snb:snbwpa:2008-05

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Keywords: Inflation; Common Factors; Sequential Information Flow;

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Cited by:
  1. Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization and Monetary Policy Institute Working Paper 26, Federal Reserve Bank of Dallas.
  2. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," KOF Working papers 10-251, KOF Swiss Economic Institute, ETH Zurich.
  3. Amstad, Marlene & Potter, Simon M. & Rich, Robert W., 2014. "The FRBNY staff underlying inflation gauge: UIG," Staff Reports 672, Federal Reserve Bank of New York.
  4. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 507-518.
  5. Marlene Amstad & Simon Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.

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