Nowcasting U.S. Headline and Core Inflation
提出一个简洁的模型，利用少量变量即时预测美国CPI和PCE中的整体通胀与核心通胀，其预测精度优于统计基准和蓝筹共识等专业调查，与美联储绿皮书相当。
Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious model for nowcasting headline and core inflation in the U.S. consumer price index and price index for personal consumption expenditures that relies on relatively few variables. The model's nowcasting accuracy improves as information accumulates over a month or quarter, outperforming statistical benchmarks. In real‐time comparisons, the model's headline inflation nowcasts substantially outperform those from the Blue Chip consensus and the Survey of Professional Forecasters. Across all four inflation measures, the model's nowcasting accuracy is comparable to that of the Federal Reserve Board's Greenbook.