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

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.

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