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Alternative P* Models of Inflation Forecasts

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  • Lee, Jim

Abstract

This paper reevaluates the inflation forecast performance of M2-based P* models relative to other competing models over the period of 1970-96. Included in the comparative study are newly developed monetary aggregates, including M2+, MZM, and M2*, and direct treatments of velocity changes associated with recent developments in M2. Out-of-sample rolling-horizon forecast exercises suggest that the predictive accuracy of alternative P* model specifications relative to traditional inflation models is not robust to different subsamples. The switching forecast performance between money-based and output-based models across periods highlights the extent of structural instability in the inflation generating process. Copyright 1999 by Oxford University Press.

Suggested Citation

  • Lee, Jim, 1999. "Alternative P* Models of Inflation Forecasts," Economic Inquiry, Western Economic Association International, vol. 37(2), pages 312-325, April.
    • Handle: RePEc:oup:ecinqu:v:37:y:1999:i:2:p:312-25
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    Cited by:

    1. Ullrich, Katrin, 2008. "Inflation expectations of experts and ECB communication," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 93-108, March.
    2. Martha Misas A. & Enrique López E. & Luis Fernando Melo V., 1999. "La inflación desde una perspectiva monetaria: un modelo P* para Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 0(35), pages 5-53, June.
    3. John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.

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