Model Specification and Inflation Forecast Uncertainty

Arbeitspapier

Three classes of inflation models are discussed: Standard Phillips curves, New Keynesian Phillips curves and Incomplete Competition models. Their relative merits in explaining and forecasting inflation are investigated theoretically and empirically. We establish that Standard Phillips-curve forecasts are robust to types of structural breaks that harm the Incomplete Competion model forecasts, but exaggerates forecast uncertainty in periods with no breaks. As the potential biases in after-break forecast errors for the Incomplete Competition model can be remedied by intercept corrections, it offers the best prospect of successful inflation forecasting.

Object Details

• ISBN: 82-7553-163-2
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Arbeidsnotat ; No. 2000/6

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Price Level; Inflation; Deflation ; Monetary Policy
• Subject: monetary policy ; inflation targeting ; wages and prices ; model specification ; encompassing ; model uncertainty ; forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bårdsen, Gunnar ; Jansen, Eilev S. ; Nymoen, Ragnar
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/209779
• Last update: 10.03.2025, 11:44 AM CET