Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/172902 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Working Paper No. 2016-5
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1) model by 28 percent (20 percent) for the PCE (CPI) measure of core inflation. To avoid obfuscation of the sources of forecast ability, the model is intentionally kept simple, although extensions for improving and increasing the robustness of the forecast procedure are also discussed.
Schlagwörter: 
core inflation
commodity futures
convenience yields
forecasting
JEL: 
C53
E37
G12
Dokumentart: 
Working Paper

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