The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy

The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy Empir Econ https://doi.org/10.1007/s00181-018-1472-1 The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy 1,2 3,4 Brent Meyer · Saeed Zaman Received: 6 April 2016 / Accepted: 9 April 2018 © Springer-Verlag GmbH Germany, part of Springer Nature 2018 Abstract In this paper, we investigate the forecasting performance of the median Con- sumer Price Index (CPI) in a variety of Bayesian Vector Autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated to simple univariate or “Phillips-Curve” approaches, thus limiting their usefulness in applications that require consistent forecasts of multiple macro-variables. We find that inclusion of an extreme The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Atlanta, Federal Reserve Bank of Cleveland, or the Federal Reserve System. Brent Meyer thankfully acknowledges that much of the research documented in this paper was performed while he was a member of the Research Department at the Cleveland Fed. The authors thank the Editor, Robert KUNST, and also the anonymous associate editor and referees for helpful comments. We also thank http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Empirical Economics Springer Journals

The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy

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Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2018 by Springer-Verlag GmbH Germany, part of Springer Nature
Subject
Economics; Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods
ISSN
0377-7332
eISSN
1435-8921
D.O.I.
10.1007/s00181-018-1472-1
Publisher site
See Article on Publisher Site

Abstract

Empir Econ https://doi.org/10.1007/s00181-018-1472-1 The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy 1,2 3,4 Brent Meyer · Saeed Zaman Received: 6 April 2016 / Accepted: 9 April 2018 © Springer-Verlag GmbH Germany, part of Springer Nature 2018 Abstract In this paper, we investigate the forecasting performance of the median Con- sumer Price Index (CPI) in a variety of Bayesian Vector Autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated to simple univariate or “Phillips-Curve” approaches, thus limiting their usefulness in applications that require consistent forecasts of multiple macro-variables. We find that inclusion of an extreme The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Atlanta, Federal Reserve Bank of Cleveland, or the Federal Reserve System. Brent Meyer thankfully acknowledges that much of the research documented in this paper was performed while he was a member of the Research Department at the Cleveland Fed. The authors thank the Editor, Robert KUNST, and also the anonymous associate editor and referees for helpful comments. We also thank

Journal

Empirical EconomicsSpringer Journals

Published: Jun 5, 2018

References

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