Conference Paper

Phillips curve inflation forecasts

Abstract: This paper surveys the literature since 1993 on pseudo out-of-sample evaluation of inflation forecasts in the United States and conducts an extensive empirical analysis that recapitulates and clarifies this literature using a consistent data set and methodology. The literature review and empirical results are gloomy and indicate that Phillips curve forecasts (broadly interpreted as forecasts using an activity variable) are better than other multivariate forecasts, but their performance is episodic, sometimes better than and sometimes worse than a good (not nave) univariate benchmark. The authors provide some preliminary evidence characterizing successful forecasting episodes.

Keywords: Unemployment; Inflation (Finance); Phillips curve;

Bibliographic Information

Provider: Federal Reserve Bank of Boston

Part of Series: Conference Series ; [Proceedings]

Publication Date: 2008

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