DP8292 A Century of Inflation Forecasts
|Author(s):||Antonello D'Agostino, Paolo Surico|
|Publication Date:||March 2011|
|Keyword(s):||monetary regimes, Phillips curve, predictability, time-varying models|
|JEL(s):||E37, E42, E47|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=8292|
We investigate inflation predictability in the United States across the monetary regimes of the XXth century. The forecasts based on money growth and output growth were significantly more accurate than the forecasts based on past inflation only during the regimes associated with neither a clear nominal anchor nor a credible commitment to fight inflation. These include the years from the outbreak of World War II in 1939 to the implementation of the Bretton Woods Agreements in 1951, and from Nixon's closure of the gold window in 1971 to the end of Volcker?s disinflation in 1983.