Published in:FRB of Cleveland Working Paper ; No. 1527
Extent:
1 Online-Ressource (43 p)
Language:
English
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2015-11-06 erstellt
Description:
We make five contributions. We demonstrate that extant trimmed-mean and median CPI construction procedures depart from Bureau of Labor Statistics index construction procedures, and that the departures don't make much of a difference. We produce nonseasonally adjusted variants of the trimmed-mean CPI and median CPI, and demonstrate that these are useful real-time estimates of trend inflation; the NSA median CPI outperforms the median CPI, but both SA and NSA variants of the median and the trimmed-mean CPI easily dominate the so-called 'core' CPI. We introduce superior ex post measures of trend inflation. We demonstrate that a small amount of time-series averaging reaps large rewards. Finally, we discuss using model-averaging as a new direction for simple and robust trend inflation indicators