U.S. core inflation : a wavelet analysis

Files in This Item:
File Description SizeFormat 
WP-06-15.pdf237.24 kBAdobe PDFDownload
Title: U.S. core inflation : a wavelet analysis
Authors: Dowd, Kevin
Cotter, John
Permanent link: http://hdl.handle.net/10197/1159
Date: 10-Sep-2006
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.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-06-15
Copyright (published version): 2006, Centre for Financial Markets
Keywords: Core inflationWaveletsInflation predictionTrend inflation
Subject LCSH: Wavelets (Mathematics)
Inflation (Finance)--Mathematical models
Inflation (Finance)--Forecasting
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/WP-06-15.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:FMC² Research Collection
Centre for Financial Markets Working Papers

Show full item record

Page view(s) 20

131
checked on May 25, 2018

Download(s) 50

104
checked on May 25, 2018

Google ScholarTM

Check


This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.