Why Has U.S. Inflation Become Harder to Forecast?
研究美国通胀率是否更难预测，发现单变量通胀过程可用含随机波动的不可观测成分趋势周期模型描述，该模型能解释近期通胀预测中的多种谜题。
We examine whether the U.S. rate of price inflation has become harder to forecast and, to the extent that it has, what changes in the inflation process have made it so. The main finding is that the univariate inflation process is well described by an unobserved component trend‐cycle model with stochastic volatility or, equivalently, an integrated moving average process with time‐varying parameters. This model explains a variety of recent univariate inflation forecasting puzzles and begins to explain some multivariate inflation forecasting puzzles as well.