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U.S. core inflation : a wavelet analysis
Author(s)
Date Issued
2006-09-10
Date Available
2009-06-09T15:04:47Z
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
Centre for Financial Markets working paper series
WP-06-15
Copyright (Published Version)
2006, Centre for Financial Markets
Subject – LCSH
Wavelets (Mathematics)
Inflation (Finance)--Mathematical models
Inflation (Finance)--Forecasting
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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