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Simulating Inflation Forecasting in Real-Time
Mr.Jens R. Clausen
Bianca Clausen
其他書名
How Useful Is a Simple Phillips Curve in Germany, the UK, and the US?
出版
International Monetary Fund
, 2010-02-01
主題
Business & Economics / Production & Operations Management
Business & Economics / Forecasting
Business & Economics / Inflation
ISBN
1451963386
9781451963380
URL
http://books.google.com.hk/books?id=Wo4YEAAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies, we use output gaps estimated with unrevised real-time GDP data. This exercise assumes an information set similar to that available to a policymaker at a given point in time since GDP data is subject to sometimes substantial revisions. In addition to using real-time datasets for the UK and the US, we employ a dataset for real-time German GDP data not used before. We find that Phillips curves based on ex post output gaps generally improve the accuracy of inflation forecasts compared to an AR(1) forecast but that real-time output gaps often do not help forecasting inflation. This raises the question how operationally useful certain output gap estimates are for forecasting inflation.