U.S. Core Inflation: A Wavelet Analysis
AbstractThis paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based measures for their performance in following trend inflation and predicting future inflation. Results suggest that wavelet-based measures perform better, and sometimes much better, than the traditional approaches. These results suggest that wavelet methods are a promising avenue for future research on core inflation.
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Bibliographic InfoPaper provided by Geary Institute, University College Dublin in its series Working Papers with number 200617.
Length: 50 pages
Date of creation: 24 Jun 2011
Date of revision:
core inflation; wavelets; trend inflation; inflation prediction;
Other versions of this item:
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
- NEP-CBA-2011-07-13 (Central Banking)
- NEP-MAC-2011-07-13 (Macroeconomics)
- NEP-MON-2011-07-13 (Monetary Economics)
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