U.S. CORE INFLATION: A WAVELET ANALYSIS

Kevin Dowd · John Cotter · Lixia Loh

18 citations0/0 files storedMacroeconomic Dynamics

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Monetary Policy and Economic Impact Economics of Agriculture and Food Markets Market Dynamics and Volatility

Abstract

This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-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.

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2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 1993Measuring Core Inflation 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income 1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS 1995Measuring Core Inflation 1999The contribution of wavelets to the analysis of economic and financial data 2002A Simple Adaptive Measure of Core Inflation 2008Core Inflation: A Review of Some Conceptual Issues

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2010Using wavelets to measure core inflation: The case of New Zealand

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