Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/172910 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Working Paper No. 2016-13
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated to simple univariate or Phillips curve approaches, thus limiting their usefulness in applications that require consistent forecasts of multiple macro variables. We find that inclusion of an extreme trimmed-mean measure - the median CPI - improves the forecasts of both core and headline inflation (CPI and personal consumption expenditures) across our set of monthly and quarterly BVARs. Although the inflation forecasting improvements are perhaps not surprising given the current literature on core inflation statistics, we also find that inclusion of the median CPI improves the forecasting accuracy of the central bank's primary instrument for monetary policy: the federal funds rate. We conclude with a few illustrative exercises that highlight the usefulness of using the median CPI.
Schlagwörter: 
inflation forecasting
trimmed-mean estimators
Bayesian vector autoregression
conditional forecasting
JEL: 
C11
E31
E37
E52
Dokumentart: 
Working Paper

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