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Title:Real time underlying inflation gauges for monetary policymakers PDF Logo
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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