US CORE INFLATION: A WAVELET ANALYSIS

被引：9

作者：

Dowd, Kevin ^{[1
]}

Cotter, John ^{[2
]}

Loh, Lixia ^{[3
]}

机构：

[1] Cass Business Sch, Pens Inst, London EC1Y 8TZ, England

[2] Univ Coll Dublin, Dublin, Ireland

[3] Sheffield Hallam Univ, Sheffield S1 1WB, S Yorkshire, England

来源：

MACROECONOMIC DYNAMICS | 2011年 / 15卷 / 04期

基金：

爱尔兰科学基金会;

关键词：

Core Inflation; Wavelets; Trend Inflation; Inflation Prediction; DECOMPOSITION;

D O I：

10.1017/S1365100510000179

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：513 / 536

页数：24

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