The evasive predictive ability of core inflation
Published on Monday, January 11, 2016 | Updated on Sunday, July 15, 2018
Document number 15/34
The evasive predictive ability of core inflation
We explore the ability of traditional core inflation –consumer prices excluding food and energy–to predict headline CPI annual inflation. We analyze a sample of OECD and non-OECD economies using monthly data from January 1994 to March 2015. Our results indicate that sizable predictability emerges for a small subset of countries.
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