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A Forecasting Assessment of Market-Based PCE Inflation

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Abstract
This article explores the potential for market-based inflation measures to improve inflation forecasting. To do so, I compare the pseudo-real time forecasting performance of a suite of models for forecasting total or “headline” PCE inflation over the short and medium run. In the forecasting exercise, a simple model using only market-based core PCE inflation showed the best forecasting performance at all horizons.

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  • Mark Bognanni, 2020. "A Forecasting Assessment of Market-Based PCE Inflation," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2020(01), January.
    • Handle: RePEc:fip:fedcec:87374
    DOI: 10.26509/frbc-ec-202001
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