TY  - JOUR
AU  - Stock,James H.
AU  - Watson,Mark W.
TI  - Forecasting Inflation
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7023
PY  - 1999
Y2  - March 1999
UR  - http://www.nber.org/papers/w7023
L1  - http://www.nber.org/papers/w7023.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 investigates forecasts of U.S. inflation at the 12-month horizon.  The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out of sample forecasting framework.  Inflation forecasts produced by the Phillips curve generally have been more accurate than forecasts based on other macroeconomic variables, including interest rates, money and commodity prices.  These forecasts can however be improved upon using a generalized Phillips curve based on measures of real aggregate activity other than unemployment, especially a new index of aggregate activity based on 61 real economic indicators.
ER  -