Forecasting inflation

被引：754

作者：

Stock, JH

Watson, MW ^{[1
]}

机构：

[1] Princeton Univ, Woodrow Wilson Sch, Princeton, NJ 08544 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Harvard Univ, Kennedy Sch Govt, Cambridge, MA 02138 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 1999年 / 44卷 / 02期

基金：

美国国家科学基金会;

关键词：

Phillips curve; forecast combination;

D O I：

10.1016/S0304-3932(99)00027-6

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates forecasts of US inflation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out-of-sample forecasting framework. Inflation forecasts produced by the Phillips curve generally have been more accurate than forecasts based on other macroeconomic variables, including interest rates, money and commodity prices. These forecasts can however be improved upon using a generalized Phillips curve based on measures of real aggregate activity other than unemployment, especially a new index of aggregate activity based on 168 economic indicators. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：293 / 335

页数：43

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