D’Agostino, Antonello & Surico, Paolo.
What does inflation predictability reveal about the conduct of monetary policy? This column investigates the ability of money growth and output growth for forecasting inflation across a century of US data. It uncovers a robust link between the nature of the monetary regimes and the ability to predict inflation several quarters ahead.
Monetary authorities across the world have always devoted a large amount of resources to forecast inflation. The history of monetary policy, however, suggests that the entrepreneurship of predicting changes in the price level has had mixed success over time. In some periods, inflation appears predictable in that multivariate models produce forecasts that are more accurate than the forecasts based on very simple “naïve” models; in other periods, however, virtually no model seems to improve upon such “naïve” models (as shown by, among others, Stock and Watson 2007 and 2008, Rossi and Sekhposyan 2010, and D’Agostino et al. 2006).
Πηγή: Voxeu