Cotter, John and Dowd, Kevin (2006): U.S. Core Inflation: A Wavelet Analysis.
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This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-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:||MPRA Paper|
|Institution:||University College Dublin|
|Original Title:||U.S. Core Inflation: A Wavelet Analysis|
|Keywords:||core inflation; wavelets; trend inflation; inflation prediction|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E47 - Forecasting and Simulation: Models and Applications
|Depositing User:||John Cotter|
|Date Deposited:||12. Jun 2007|
|Last Modified:||15. Feb 2013 14:22|
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