Does a factor Phillips curve help? An evaluation of the predictive power for US inflation Academic Article

abstract

• This article evaluates various models' predictive power for U. S. inflation rate using a simulated out-of-sample forecasting framework. The starting point is the traditional unemployment Phillips curve. We show that a factor Phillips curve model is superior to the traditional Phillips curve, and its performance is comparable to other factor models. We find that a factor AR model is superior to the factor Phillips curve model, and is the best bivariate or factor model at longer horizons. Finally, we investigate a New Keynesian Phillips curve model, and find that its forecasting performance dominates all other models at the longer horizons. 2010 Springer-Verlag.

authors

• Jansen, Dennis

published proceedings

• EMPIRICAL ECONOMICS

author list (cited authors)

• Liu, D., & Jansen, D. W.

citation count

• 3

complete list of authors

• Liu, Dandan||Jansen, Dennis W

publication date

• May 2011

publisher

• Springer Nature  Publisher

published in

• Empirical Economics  Journal

keywords

• Factor Analysis
• Forecasting
• Phillips Curve

Digital Object Identifier (DOI)

• 10.1007/s00181-010-0352-0

start page

• 807

end page

• 826

volume

• 40

issue

• 3

URL

• http://dx.doi.org/10.1007/s00181-010-0352-0