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 Available from: http://eprints.uwe.ac.uk/12280


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


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
ID Code:12280
Deposited By: Dr L. Loh
Deposited On:17 Jan 2011 12:21
Last Modified:06 Nov 2016 20:59

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