Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/240327 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 4/2020
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation and its predictors) into several frequency bands and forecasting separately each frequency component of inflation. The largest statistically significant forecasting gains are achieved with a model that forecasts the lowest frequency component of inflation (corresponding to cycles longer than 16 years) flexibly using information from all frequency components of the NKPC inflation predictors. Its performance is particularly good in the returning to recovery from the Great Recession.
Schlagwörter: 
inflation forecasting
new Keynesian Phillips curve
frequency domain
wavelets
JEL: 
C53
E31
E37
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-323-322-5
Dokumentart: 
Working Paper

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