Open AccessA Forecasting Assessment of Market-Based PCE Inflation
Author(s) -
Mark Bognanni
Publication year - 2020
Publication title -
economic commentary (federal reserve bank of cleveland)
Language(s) - English
Resource type - Journals
eISSN - 2163-3738
pISSN - 0428-1276
DOI - 10.26509/frbc-ec-202001
Subject(s) - inflation (cosmology) , headline , core inflation , economics , suite , econometrics , core (optical fiber) , macroeconomics , computer science , monetary policy , inflation targeting , advertising , archaeology , physics , theoretical physics , history , business , telecommunications
This article explores the potential for market-based inflation measures to improve inflation forecasting. To do so, I compare the pseudo-real time forecasting performance of a suite of models for forecasting total or “headline” PCE inflation over the short and medium run. In the forecasting exercise, a simple model using only market-based core PCE inflation showed the best forecasting performance at all horizons.
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