## Simulating Inflation Forecasting in Real-time: How Useful is a Simple Phillips Curve in Germany, the UK, and the US?, Issues 2010-2052This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies, we use output gaps estimated with unrevised real-time GDP data. This exercise assumes an information set similar to that available to a policymaker at a given point in time since GDP data is subject to sometimes substantial revisions. In addition to using real-time datasets for the UK and the US, we employ a dataset for real-time German GDP data not used before. We find that Phillips curves based on ex post output gaps generally improve the accuracy of inflation forecasts compared to an AR(1) forecast but that real-time output gaps often do not help forecasting inflation.This raises the question how operationally useful certain output gap estimates are for forecasting inflation. |

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Simulating Inflation Forecasting in Real-Time: How Useful Is a Simple ... Jens R. Clausen,Bianca Clausen No preview available - 2010 |

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AR(l bivariate inﬂation forecast Clausen and Meier considered the ex constitutes a 245 constitutes the quasi-real-time contains 245 observations Data and Potential data is obtained detrending methods different time period estimate potential output Estimated with HP-Filter Estimated with Linear Ex post Appendix ex post data ex post GDP ex post output ﬁlter ﬁnd ﬁom forecast errors GDP growth rates GDP series available growth rates ex Hodrick-Prescott Filter inﬂation data initial training period last and longest Linear Trend Roll longest vintage contains matrix Orphanides Output Gap Dataset Output Gap Estimates output gap series paper constitutes post GDP data post output gap Potential Output Estimated publication Saisonbereinigte quarters ahead quasi-real-time output gap Real GDP Growth real GDP series Real-Time GDP Data real-time GDP dataset real-time growth rates real-time output gap Real-time recursively Real-time rolling window RMSE series is considered United Kingdom vintage contains 205 vintage reaches back vintages starting