IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2207.12494.html
   My bibliography  Save this paper

Extending the Range of Robust PCE Inflation Measures

Author

Listed:
  • Sergio Ocampo
  • Raphael Schoenle
  • Dominic A. Smith

Abstract

Robust inflation measures gauge inflation behavior by excluding volatile expenditure categories from headline inflation. We evaluate the forecasting performance of a wide set of such measures between 1970 and 2024, including core, median, and trimmed mean personal-consumption-expenditure (PCE) inflation. Core inflation performs significantly worse than official median and trimmed mean inflation. Among a set of alternative trimmed mean measures, there is no single best trim based on forecasting performance: A wide set of trims generates statistically indistinguishable average errors. Nonetheless, different trims imply different predictions for trend inflation in any given month, within a range of 0.5 to 1 percentage points. In tracking trend inflation, this range and its midpoint outperform all trimmed mean inflation measures, suggesting the use of the range of inflation implied by the set of near-optimal trims as a valuable complement to any single inflation measure.

Suggested Citation

  • Sergio Ocampo & Raphael Schoenle & Dominic A. Smith, 2022. "Extending the Range of Robust PCE Inflation Measures," Papers 2207.12494, arXiv.org, revised Feb 2025.
    • Handle: RePEc:arx:papers:2207.12494
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2207.12494
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2207.12494. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.