Predicting Turning Points in the UK Inflation Cycle

No 880, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We set out a reference chronology for annual UK inflation, identifying nine complete cycles between 1958 and 1990. Inflation over this period is asymmetric, falling more quickly than it rises. Leading indicators are also proposed, with composite shorter and longer leading indicators constructed. These exhibit leads at peaks which are generally longer than at troughs. An evaluation of the composite series is also conducted to indicate how they might perform in real time. Overall, they give clear prior turning point information with relatively few `false signals'. Nevertheless, we find that inflation troughs are more difficult to predict than peaks.

Keywords: Bayesian; Cycles; Forecasting; Inflation; Leading Indicators (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Date: 1994-01
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Citations: View citations in EconPapers (3)

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Journal Article: Predicting Turning Points in the UK Inflation Cycle (1995)
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