U.S. core inflation: A wavelet analysis

Loh, L. (2011) U.S. core inflation: A wavelet analysis. Macroeconomic Dynamics, 15 (4). pp. 513-536. ISSN 1365-1005

[img]
Preview
 PDF
352Kb

Publisher's URL: http://dx.doi.org/10.1017/S1365100510000179

Abstract

This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests that they are ideally suited to this task. Comparisons are made with traditional Consumer Price Index–based and regression-based measures for their performance in following trend inflation and predicting future inflation. Results suggest that wavelet-based measures perform better, and sometimes much better, than the traditional approaches. These results suggest that wavelet methods are a promising avenue for future research on core inflation.

Item Type:Article
Uncontrolled Keywords:core inflation, wavelets, trend inflation, inflation prediction
Faculty/Department:Faculty of Business and Law > Department of Business Management
~Pre-2010 Faculty Structure > Bristol Business School > Centre for Global Finance
~Pre-2012 Faculty Structure > Faculty of Business and Law > Department of Business and Management
~Pre-2012 Faculty Structure > Faculty of Business and Law > Centre for Global Finance
ID Code:12280
Deposited By: Dr L. Loh
Deposited On:17 Jan 2011 12:21
Last Modified:25 Nov 2012 18:01

Repository Staff Only: item control page

Total Document Downloads in Past 12 Months

Document Downloads

Total Document Downloads

More statistics for this item...
Copyright 2013 © UWE better together