G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE?

Volume: 11, Issue: 1, Pages: 1 - 30
Published: Feb 1, 2007
Abstract
This paper compares the forecasting performance of some leading models of inflation for G-7 countries. We show that bivariate and trivariate models suggested by economic theory or statistical analysis are not much better than univariate ones. Phillips curve specifications fit well into this class. Improvements in both the MSE of the forecasts and turning point prediction are obtained with time-varying coefficients models, which exploit...
Paper Details
Title
G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE?
Published Date
Feb 1, 2007
Volume
11
Issue
1
Pages
1 - 30
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