A simple adaptive measure of core inflation

Timothy Cogley

    Research output: Contribution to journalArticle

    Abstract

    This paper proposes a new measure of core inflation and compares it with several existing measures. The new measure is adaptive and is designed to track sudden and persistent movements in inflation, such as those arising from changes in monetary policy regimes. The adaptive measure filters out transients more effectively than existing measures, and it is a superior predictor of locally mean-reverting components of inflation.

    Original languageEnglish (US)
    Pages (from-to)94-113
    Number of pages20
    JournalJournal of Money, Credit and Banking
    Volume34
    Issue number1
    DOIs
    StatePublished - 2002

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    Core inflation
    Inflation
    Predictors
    Filter
    Mean-reverting
    Monetary policy regimes

    ASJC Scopus subject areas

    • Accounting
    • Finance
    • Economics and Econometrics

    Cite this

    A simple adaptive measure of core inflation. / Cogley, Timothy.

    In: Journal of Money, Credit and Banking, Vol. 34, No. 1, 2002, p. 94-113.

    Research output: Contribution to journalArticle

    Cogley, Timothy. / A simple adaptive measure of core inflation. In: Journal of Money, Credit and Banking. 2002 ; Vol. 34, No. 1. pp. 94-113.
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