TY  - JOUR
AU  - Stock,James H.
AU  - Watson,Mark W.
TI  - Phillips Curve Inflation Forecasts
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14322
PY  - 2008
Y2  - September 2008
UR  - http://www.nber.org/papers/w14322
L1  - http://www.nber.org/papers/w14322.pdf
N1  - Author contact info:
James H. Stock
Department of Economics
Harvard University
Littauer Center M27
Cambridge, MA 02138
Tel: 617/496-0502
Fax: 617/495-7730
E-Mail: James_Stock@harvard.edu

Mark W. Watson
Department of Economics
Princeton University
Princeton, NJ 08544-1013
Tel: 609/258-4811
Fax: 609/258-5533
E-Mail: mwatson@princeton.edu
AB  - This paper surveys the literature since 1993 on pseudo out-of-sample evaluation of inflation forecasts in the United States and conducts an extensive empirical analysis that recapitulates and clarifies this literature using a consistent data set and methodology.  The literature review and empirical results are gloomy and indicate that Phillips curve forecasts (broadly interpreted as forecasts using an activity variable) are better than other multivariate forecasts, but their performance is episodic, sometimes better than and sometimes worse than a good (not naïve) univariate benchmark.  We provide some preliminary evidence characterizing successful forecasting episodes.
ER  -