Real-time inflation forecasting in a changing world

  title={Real-time inflation forecasting in a changing world},
  author={Jan J. J. Groen and Richard Paap},
This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts that use activity and expectations variables. We propose a Phillips-curve-type model that results from averaging across different regression specifications selected from a set of potential predictors. The set of predictors includes lagged values of inflation, a host of real-activity data, term structure data, nominal data, and surveys. In each individual specification, we allow… CONTINUE READING
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