2023
DOI: 10.26509/frbc-wp-202223r
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Improving inflation forecasts using robust measures

Abstract: Theory and extant empirical evidence suggest that the cross-sectional asymmetry across disaggregated price indexes might be useful in forecasting aggregate inflation. Trimmed-mean inflation estimators have been shown to be useful devices for forecasting headline PCE inflation. But is this because they signal the underlying trend or because they implicitly signal asymmetry in the underlying distribution? We address this question by augmenting a "hard" to beat benchmark headline PCE inflation forecasting model w… Show more

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