Using wavelets to measure core inflation: The case of New Zealand
This paper uses wavelets to develop a core inflation measure for inflation targeting central banks. The analysis is applied to the case of New Zealand - the country with the longest history of explicit inflation targeting. We compare the performance of our proposed measure against some popular alternatives. Our measure does well at identifying a reliable medium-term trend in inflation. It also has comparable forecasting performance to standard benchmarks.
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Volume (Year): 21 (2010)
Issue (Month): 3 (December)
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