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
Empirical Economics – Springer Journals
Published: Jun 5, 2018
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
All the latest content is available, no embargo periods.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud