U.S. core inflation: A wavelet analysis

Dowd, Kevin; Cotter, John; Loh, Lixia

Abstract

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. © 2010 Cambridge University Press.

Citation

Cotter, J., Dowd, K., & Loh, L. (2011). U.S. core inflation: A wavelet analysis. Macroeconomic Dynamics, 15(4), 513-536. https://doi.org/10.1017/S1365100510000179

• Journal Article Type: Article
• Publication Date: Sep 1, 2011
• Publicly Available Date: Jun 8, 2019
• Journal: Macroeconomic Dynamics
• Print ISSN: 1365-1005
• Electronic ISSN: 1469-8056
• Publisher: Cambridge University Press (CUP)
• Peer Reviewed: Peer Reviewed
• Volume: 15
• Issue: 4
• Pages: 513-536
• DOI: https://doi.org/10.1017/S1365100510000179
• Keywords: core inflation, wavelets, trend inflation, inflation prediction
• Public URL: https://uwe-repository.worktribe.com/output/959809
• Publisher URL: http://dx.doi.org/10.1017/S1365100510000179