proem

Economics, Econometrics and Finance

4 years ago

Real-time GDP data may not improve inflation forecasting accuracy.

Simulating Inflation Forecasting in Real-Time: How Useful is a Simple Phillips Curve in Germany, the U.K.L4434, and the U.S.?

Jens Clausen, Bianca Clausen

Paper Summary

Economics, Econometrics and Finance

4 years ago

Real-time GDP data may not improve inflation forecasting accuracy.

IMF Working Paper

Simulating Inflation Forecasting in Real-Time: How Useful is a Simple Phillips Curve in Germany, the U.K.L4434, and the U.S.?

Jens Clausen, Bianca Clausen

Paper Summary

The article simulates inflation forecasting for Germany, the UK, and the US using real-time GDP data. Phillips curves based on ex post output gaps improve inflation forecasts compared to AR(1) forecasts. However, real-time output gaps often do not help forecast inflation accurately.