Abstract

http://ssrn.com/abstract=263021
 
 

References (35)



 


 



Alternative Indicators to Predict the Probability of Declining Inflation


Sungjun Kang


Korea Ministry of Planning and Budget

Kwangwoo Park


Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance

Ronald A. Ratti


University of Western Sydney - Department of Economics & Finance

January 2002


Abstract:     
This paper investigates the performance of inflation indicators for predicting the probability of inflation falling inside or outside constant and moving target ranges with a probit model for U.S. data. Particular attention will be given to the moving target range that future inflation will be below most recently observed inflation. This issue is motivated by the emphasis placed by the Federal Reserve System on the long-run objective of price stability, that can be achieved by the gradual reduction in the rate of inflation by monetary control. When the inflation target range is zero to the average of inflation over the preceding eight quarters, the capacity utilization rate and the unemployment rate forecast whether inflation will be inside or outside the target range much more accurately than the other indicators over the 1976:I-1997:IV period. In contrast, out-of-sample forecasting results for the 1990:I-1997:IV period for a moving target range yield commodity prices as best indicators.

Number of Pages in PDF File: 35

Keywords: Probit model, out-of-sample forecast, inflation targets, inflation indicators

JEL Classification: C25, E31, E37, G18

working papers series


Download This Paper

Date posted: March 12, 2001  

Suggested Citation

Kang, Sungjun and Park, Kwangwoo and Ratti, Ronald A., Alternative Indicators to Predict the Probability of Declining Inflation (January 2002). Available at SSRN: http://ssrn.com/abstract=263021 or http://dx.doi.org/10.2139/ssrn.263021

Contact Information

Sungjun Kang
Korea Ministry of Planning and Budget
520-3 Banpo-dong Seocho-Gu
Seoul 137-756
Korea
Kwangwoo Park (Contact Author)
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance ( email )
207-43 Chongnyangni2-dong
Seoul 130-722
Korea
82-2-958-3540 (Phone)
82-2-958-3604 (Fax)
Ronald A. Ratti
University of Western Sydney - Department of Economics & Finance ( email )
Sydney, NSW 1797
Australia
Feedback to SSRN


Paper statistics
Abstract Views: 1,859
Downloads: 185
Download Rank: 90,849
References:  35

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.734 seconds