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美联储-实时预测美国通胀(英)-2021.3

# 美国 # 通胀 大小:0.34M | 页数:32 | 上架时间:2021-03-07 | 语言:英文

美联储-实时预测美国通胀(英)-2021.3.pdf

美联储-实时预测美国通胀(英)-2021.3.pdf

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类型: 专题

上传者: YLY.sjz

撰写机构: 美联储

出版日期: 2021-03-05

摘要:

We perform a real-time forecasting exercise for US inflation, investigating whetherand how additional information – additional macroeconomic variables, expert judgment,or forecast combination – can improve forecast accuracy and robustness. In our analysiswe consider the pre-pandemic period including the Global Financial Crisis and the followingexpansion – the longest on record – featuring unemployment that fell to a ratenot seen for nearly sixty years. Distinguishing features of our study include the use ofpublished Federal Reserve Board staff forecasts contained in Tealbooks and a focus onforecasting performance before, during, and after the Global Financial Crisis, with relevancealso for the current crisis and beyond. We find that while simple models remainhard to beat, the additional information that we consider can improve forecasts, especiallyin the post-crisis period. Our results show that (1) forecast combination approachesimprove forecast accuracy over simpler models and robustify against bad forecasts, a particularlyrelevant feature in the current environment; (2) aggregating forecasts of inflationcomponents can improve performance compared to forecasting the aggregate directly; (3)judgmental forecasts, which likely incorporate larger and more timely datasets, provideimproved forecasts at short horizons.

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