The Macroeconomic and Fiscal Implications of Inflation Forecast.pdf (495.5 kB)
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The macroeconomic and fiscal implications of inflation forecast errors.

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journal contribution
posted on 04.01.2018, 14:10 by Harris Dellas, Heather D. Gibson, Stephen G. Hall, George S. Tavlas
The accuracy of inflation forecasts has important implications for macroeconomic stability and real interest rates in economies with nominal rigidities. Erroneous forecasts destabilize output, undermine the conduct of monetary policy under inflation targeting and affect the cost of both short and long-term government borrowing. We propose a new method for forecasting inflation that combines individual forecasts using time-varying-coefficient estimation along with an alternative method based on neural nets. Its application to forecast data from the US and the euro area produces superior performance relative to the standard practice of using individual or linear combinations of individual forecasts, especially during periods marked by structural changes.

History

Citation

Journal of Economic Dynamics and Control, 2018

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/School of Business

Version

AM (Accepted Manuscript)

Published in

Journal of Economic Dynamics and Control

Publisher

Elsevier

issn

0165-1889

eissn

1879-1743

Acceptance date

05/12/2017

Copyright date

2018

Publisher version

https://www.sciencedirect.com/science/article/pii/S0165188918300502

Notes

The file associated with this record is under embargo until 24 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.

Language

en

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