Using wavelets to measure core inflation: The case of New Zealand

被引：9

作者：

Baqaee, David ^{[1
]}

机构：

[1] Reserve Bank New Zealand, Dept Econ, Wellington 6011, New Zealand

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2010年 / 21卷 / 03期

关键词：

Core Inflation; Monetary policy; Central banks; Time series; Wavelets;

D O I：

10.1016/j.najef.2010.03.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper uses wavelets to develop a core inflation measure for inflation targeting central banks. The analysis is applied to the case of New Zealand - the country with the longest history of explicit inflation targeting. We compare the performance of our proposed measure against some popular alternatives. Our measure does well at identifying a reliable medium-term trend in inflation. It also has comparable forecasting performance to standard benchmarks. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：241 / 255

页数：15

共 28 条

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