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| Title: | | Real time underlying inflation gauges for monetary policymakers  |
| Authors: | | Amstad, Marlene Potter, Simon |
| Issue Date: | | 2009 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 420 |
| Abstract: | | Central banks analyze a wide range of data to obtain better measures of underlying inflationary pressures. Factor models have widely been used to formalize this procedure. Using a dynamic factor model this paper develops a measure of underlying inflation (UIG) at time horizons of relevance for monetary policymakers for both CPI and PCE. The UIG uses a broad data set allowing for high-frequency updates on underlying inflation. The paper complements the existing literature on U.S. 'core' measures by illustrating how UIG is used and interpreted in real time since late 2005. |
| Subjects: | | Inflation dynamic factor models core inflation monetary policy forecasting |
| JEL: | | C13 C33 C43 E31 E37 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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