Nowcasting US inflation using a MIDAS augmented Phillips curve
by Clément Marsilli
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 7, No. 1/2, 2017

Abstract: We present a mixed-frequency model for real-time monitoring of US inflation. Our approach relies on a mixed-data sampling (MIDAS) augmented Phillips curve with daily oil prices for nowcasting inflation. In line with the literature we find that performances of inflation nowcasting models rely on two key elements: the inclusion of high-frequency oil prices and a rolling-window framework. Our approach succeeds in providing a policy-oriented tool for monitoring inflation in real-time.

Online publication date: Thu, 01-Dec-2016

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